| dc.contributor.author | Drake, Tobias Warme | |
| dc.contributor.author | Kristiansen, Valera | |
| dc.date.accessioned | 2022-12-20T13:03:28Z | |
| dc.date.available | 2022-12-20T13:03:28Z | |
| dc.date.issued | 2022 | |
| dc.identifier.uri | https://hdl.handle.net/11250/3038851 | |
| dc.description | Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2022 | en_US |
| dc.description.abstract | In this thesis, we conduct an empirical study of whether Environmental, Social, and Governance (ESG) ratings impact risk-adjusted stock performance and its ability to be used as a signal in investment strategies. We form top and bottom decile portfolios based on three different ESG ratings and regress the portfolio excess returns on Fama-French risk factors. The study returned positive significant monthly 5-factor alphas of up to 0.57% for top portfolios in the European market and indicates that aggregated ESG scores can provide valuable information to private investors; however, the US study failed to produce the same evidence. The inconsistent results prevent us from providing a decisive answer on the impact of ESG ratings on risk-adjusted stock performance. | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | Handelshøyskolen BI | en_US |
| dc.subject | finans finance | en_US |
| dc.title | The importance of ESG ratings on risk-adjusted stock performance | en_US |
| dc.type | Master thesis | en_US |
