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MATERIAL AND IMMATERIAL STOCK PERFORMANCES ON HIGH AND LOW INVESTMENTS

Lin, Yuhong; Li, Hao Ying
Master thesis
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2602989.pdf (7.037Mb)
Fama_Macbeth_Code.pdf (656.2Kb)
FamaData_ResidualRanking.xlsx (304.6Kb)
MappingESG.xlsx (2.450Mb)
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https://hdl.handle.net/11250/2687265
Utgivelsesdato
2020
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  • Master of Science [963]
Sammendrag
We study the effect of materiality and immateriality on high and low investments.

Using the SASB mapping, we obtain materiality and immateriality scores for S&P

500 companies by industry sectors. We separate firms into high and low

investment according to their rankings of residuals and conducted Fama-Macbeth

calendar-time regression to verify the performance of including materiality and

immateriality in firm analysis. We obtained that high investments on material

sustainability issues are more value attracting while high investments on

immaterial sustainability issues are value distracting. Furthermore, we also

examined the investment performances on all sustainability issues. The results

signal needs of further enhancing sustainable activities within firms to make it

more value attracting.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2020
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Handelshøyskolen BI

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