Uncovering the Puzzle of ESG Score Adjustments: An Analysis of Systemic Impacts and Momentum Dynamics

dc.contributor.author	Johansen, Tobias Eskelund
dc.contributor.author	Djupvik, Sander
dc.date.accessioned	2023-12-08T11:57:59Z
dc.date.available	2023-12-08T11:57:59Z
dc.date.issued	2023
dc.identifier.uri	https://hdl.handle.net/11250/3106605
dc.description	Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2023	en_US
dc.description.abstract	In this research paper, we explore the presence of momentum in ESG scores with the possibilities of utilizing the potential momentum to generate alpha. Three drivers - company, industry, and country - are analyzed through regression analysis using MSCI ESG data to develop a systematic, investment, and predictive model. Our findings show that ESG score changes exhibit a short-term inverse relationship with preceding periods, but individual momentum becomes apparent over longer periods. We also identify company, industry, and country factors as drivers of momentum in ESG scores. In conclusion, our research indicates weak momentum tendencies in ESG scores	en_US
dc.language.iso	eng	en_US
dc.publisher	Handelshøyskolen BI	en_US
dc.subject	finans	en_US
dc.subject	finance	en_US
dc.subject	finacial economics	en_US
dc.title	Uncovering the Puzzle of ESG Score Adjustments: An Analysis of Systemic Impacts and Momentum Dynamics	en_US
dc.type	Master thesis	en_US