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Norwegian Open Research Archives
Master thesis . 2020
Data sources: Norwegian Open Research Archives
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BI Open
Master thesis . 2020
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ESG-Ratings and Returns

descriptionPublicationkeyboard_double_arrow_right Master thesis 01 Jan 2020 Norway English Publisher:Handelshøyskolen BI
Authors: Ottesen, Dan Fredrik Clemp; Zilinskas, Sarunas;

handle: 11250/2686872

ESG-Ratings and Returns

Abstract

We nd that value-weighted portfolios long US stocks from compa- nies with low Environmental, Social and Governance (ESG)-ratings and short stocks with high ESG-ratings have returned annualized 5-factor alphas between 6.9% and 10.8% in the period of 2010 and 2018 depending on the choice of breakpoint. Through analysing holdings of institutional investors, we nd that the di erence in performance cannot be attributed to behavioral changes such as negative screening of low-rated ESG stocks or impact investing in high-rated ESG stocks.

Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2020

Country
Norway
Related Organizations
Keywords

finans, finance

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
Green