Navigating Downside Risk: The Impact of ESG Across Sectors
(2024) NEKN02 20241Department of Economics
- Abstract
- This study investigates the relationship between ESG scores and downside risk across various sectors in the Nordic markets from 2018 to 2022. ESG, a widely recognized concept in finance, evaluates companies’ performance based on their environmental, social, and governance practices. We examine how both the overall ESG scores and the individual pillars influence downside risk in 11 different sectors using panel regression analysis. Our findings reveal a consistent trend across the majority of sectors in the Nordics: higher ESG scores are associated with reduced downside risk. Moreover, we identify the environmental pillar as the most influential in mitigating downside risk. Interestingly, our results indicate that firms with lower ESG... (More)
- This study investigates the relationship between ESG scores and downside risk across various sectors in the Nordic markets from 2018 to 2022. ESG, a widely recognized concept in finance, evaluates companies’ performance based on their environmental, social, and governance practices. We examine how both the overall ESG scores and the individual pillars influence downside risk in 11 different sectors using panel regression analysis. Our findings reveal a consistent trend across the majority of sectors in the Nordics: higher ESG scores are associated with reduced downside risk. Moreover, we identify the environmental pillar as the most influential in mitigating downside risk. Interestingly, our results indicate that firms with lower ESG scores face greater penalization in terms of downside risk compared to the reduction experienced by top performers. This suggests a pronounced effect of ESG ratings on risk management practices within Nordic markets. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9159027
- author
- Ihr, Henric Anders LU and Magnusson, William LU
- supervisor
- organization
- course
- NEKN02 20241
- year
- 2024
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Downside Risk, ESG, Expected Shortfall, Sustainable Finance, Value at Risk
- language
- English
- id
- 9159027
- date added to LUP
- 2024-08-12 15:57:20
- date last changed
- 2024-08-12 15:57:20
@misc{9159027, abstract = {{This study investigates the relationship between ESG scores and downside risk across various sectors in the Nordic markets from 2018 to 2022. ESG, a widely recognized concept in finance, evaluates companies’ performance based on their environmental, social, and governance practices. We examine how both the overall ESG scores and the individual pillars influence downside risk in 11 different sectors using panel regression analysis. Our findings reveal a consistent trend across the majority of sectors in the Nordics: higher ESG scores are associated with reduced downside risk. Moreover, we identify the environmental pillar as the most influential in mitigating downside risk. Interestingly, our results indicate that firms with lower ESG scores face greater penalization in terms of downside risk compared to the reduction experienced by top performers. This suggests a pronounced effect of ESG ratings on risk management practices within Nordic markets.}}, author = {{Ihr, Henric Anders and Magnusson, William}}, language = {{eng}}, note = {{Student Paper}}, title = {{Navigating Downside Risk: The Impact of ESG Across Sectors}}, year = {{2024}}, }