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dc.contributor.authorCruz, Eirin Eiken
dc.contributor.authorJansen, Steffan
dc.date.accessioned2020-11-18T13:25:24Z
dc.date.available2020-11-18T13:25:24Z
dc.date.issued2020
dc.identifier.urihttps://hdl.handle.net/11250/2688499
dc.descriptionMasteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2020
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherHandelshøyskolen BIen_US
dc.subjectfinans
dc.subjectfinance
dc.subjectfinancial economics
dc.titleDoes ESG Investments Come at a Cost?en_US
dc.typeMaster thesisen_US


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