Do Sustainable Mutual Funds Offer Protection in Times of Market Instability?
Master thesis
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https://hdl.handle.net/11250/2824545Utgivelsesdato
2021Metadata
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- Master of Science [1612]
Sammendrag
Our thesis examines the nancial performance of open-ended mutual
funds with a Morningstar Sustainability rating from January
2015 to December 2020. We use four di erent factor models to
investigate whether the hypothesis that SRI funds o er protection
during times of crisis, such as the COVID-19 pandemic. We distribute
the funds based on their level of sustainable investments
to see what level of ESG-risk is most pro table on a risk-adjusted
basis. Our results indicate that sustainable mutual funds underperform
the market portfolio during non-crisis and crisis times,
although less in times of crisis.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance/(Financial Economics) - Handelshøyskolen BI, 2021