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Socially Responsible Investing: The Robustness of the Materiality Anomaly

Lid, Håvard; Lindstad, Mikael
Master thesis
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2605517.pdf (8.083Mb)
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https://hdl.handle.net/11250/2687969
Utgivelsesdato
2020
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  • Master of Science [963]
Sammendrag
In this paper we investigate the nancial performance implications

of rms' commitment to sustainability e orts. We evaluate three

possible explanations for the abnormal returns identi ed in portfolios

constructed on the basis of material CSR-scores; traditional

risk factors, an underlying "saint" factor, or asymmetric market

information prior to materiality considerations becoming publicly

available. We nd that abnormal returns only occur in portfolios

based on sector adjusted material score change, and these returns

can be fully accounted for by common risk factors, speci cally the

Fama and French (2015) ve-factor model. Our results suggest

that the risk-adjusted performance of rms highly committed to

sustainability measures is insigni cantly di erent from rms less

committed to social responsibility, regardless of materiality classi-

cations used to evaluate CSR performance.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2020/Masteroppgave(MSc) in Master of Science in Business - QTEM Masters Networks - Handelshøyskolen BI, 2020
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Handelshøyskolen BI

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