| dc.description.abstract | This paper seeks to answer if the Nordic investor pays the price of ethics when
investing in Nordic ESG funds. Over the 2010-2020 period, we take the perspective
of a Nordic investor and compare the risk and return of 38 Nordic environmental,
social and governance (ESG) funds relative to a matched sample of 76 conventional
funds. We analyse and compare funds environmental, social and governance (ESG)
performance and seek to find a relationship between ESG risk and risk-adjusted
performance.
Although our study indicates that both ESG and the conventional fund have
underperformed the benchmark portfolio over the sample period, the results suggest
that Nordic investors do not pay the price for ethics when investing in ESG funds.
Further, we find weak evidence of a positive relationship between performance in
ESG and risk-adjusted return. | en_US |
