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Does ESG rating affect sin stock performance? Evidence from sin stocks in US markets

Tala, Mats; Odden, Marcus Ødegaard
Master thesis
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2641602.pdf (2.088Mb)
regressions.xlsx (2.079Mb)
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https://hdl.handle.net/11250/2687849
Utgivelsesdato
2020
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Samlinger
  • Master of Science [963]
Sammendrag
Sin stocks and ESG are two sides of a story that has received extensive attention

separately, but not many researchers have looked at the possibility to connect the

two. Previous research show puzzling evidence about a sin stock anomaly that has

been known for years, and positive CFP associated with CSP. Our research will

step into the research area where we look at both ESG and sin stocks connected.

This thesis will investigate the relationship between ESG-scores and sin stocks, by

looking at publicly traded companies in the US During 2002-2019.

In this paper we will present new evidence on how sin stocks outperform the rest

of the stock market. Previous research papers have proven the abnormal return to

be true, but not accounted for the ESG Scores. When using ESG Scores as a

criterion to form our various sin stock portfolios, we found that sin stocks with a

bad ESG Score, or with no ESG Score, outperformed sin stocks with a good ESG

Score.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2020
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Handelshøyskolen BI

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