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Does ESG Investments Come at a Cost?

Cruz, Eirin Eiken; Jansen, Steffan
Master thesis
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URI
https://hdl.handle.net/11250/2688499
Date
2020
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  • Master of Science [963]
Abstract
This thesis investigates the financial market’s reaction to the implementation of

ESG related investment methods. In order to investigate this, we estimated the riskadjusted

performance, evaluated and compared a high-rated ESG (i.e. Virtue)

portfolio with a low-rated ESG portfolio (i.e. Sin) and a portfolio based on sin

industries defined by Hong and Kacperczyk (2009) (i.e. SinHK). We find that there

is mixed evidence on whether sustainable investing implies financial cost.

Moreover, by implementing an investment strategy based on ESG rating might

results in a tilt on size, where we also discovered a positive correlation between

ESG and Size. Furthermore, we find evidence supporting Hong and Kacperczyk

(2009) hypothesis, however, we do not find that there is any statistical significant

outperformance of any of the portfolios in regards to abnormal returns.
Description
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2020
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Handelshøyskolen BI

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