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dc.contributor.authorLid, Håvard
dc.contributor.authorLindstad, Mikael
dc.date.accessioned2020-11-16T09:30:24Z
dc.date.available2020-11-16T09:30:24Z
dc.date.issued2020
dc.identifier.urihttps://hdl.handle.net/11250/2687969
dc.descriptionMasteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2020/Masteroppgave(MSc) in Master of Science in Business - QTEM Masters Networks - Handelshøyskolen BI, 2020en_US
dc.description.abstractIn 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.en_US
dc.language.isoengen_US
dc.publisherHandelshøyskolen BIen_US
dc.subjectfinancial economicsen_US
dc.subjectfinansen_US
dc.subjectfinanceen_US
dc.subjectbusiness
dc.titleSocially Responsible Investing: The Robustness of the Materiality Anomalyen_US
dc.typeMaster thesisen_US


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