Is valuation uncertainty affected by ESG-ratings?
(2024) NEKN02 20241Department of Economics
- Abstract
- This thesis investigates the impact that ESG-ratings have on valuation uncertainty. Because of the increased importance of sustainable investing, understanding the potential effect of a sustainability metric like ESG-ratings becomes increasingly important. This thesis uses an accounting-based valuation model to determine the valuation uncertainty. Using data from multiple ESG rating agencies a new variable is created for the sustainability. This variable is then incorporated into the model and a comparison between the model without the ESG-variable incorporated and the model with it is performed using a paired t-test. The results showed that the incorporation of the ESG-variable in the model for valuation uncertainty caused the valuation... (More)
- This thesis investigates the impact that ESG-ratings have on valuation uncertainty. Because of the increased importance of sustainable investing, understanding the potential effect of a sustainability metric like ESG-ratings becomes increasingly important. This thesis uses an accounting-based valuation model to determine the valuation uncertainty. Using data from multiple ESG rating agencies a new variable is created for the sustainability. This variable is then incorporated into the model and a comparison between the model without the ESG-variable incorporated and the model with it is performed using a paired t-test. The results showed that the incorporation of the ESG-variable in the model for valuation uncertainty caused the valuation uncertainty to increase. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9160580
- author
- Tyrstrup, Markus LU
- supervisor
-
- Marco Bianco LU
- organization
- course
- NEKN02 20241
- year
- 2024
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- "ESG", "Valuation Uncertainty", "Sustainability"
- language
- English
- id
- 9160580
- date added to LUP
- 2024-08-12 15:59:27
- date last changed
- 2024-08-12 15:59:27
@misc{9160580,
abstract = {{This thesis investigates the impact that ESG-ratings have on valuation uncertainty. Because of the increased importance of sustainable investing, understanding the potential effect of a sustainability metric like ESG-ratings becomes increasingly important. This thesis uses an accounting-based valuation model to determine the valuation uncertainty. Using data from multiple ESG rating agencies a new variable is created for the sustainability. This variable is then incorporated into the model and a comparison between the model without the ESG-variable incorporated and the model with it is performed using a paired t-test. The results showed that the incorporation of the ESG-variable in the model for valuation uncertainty caused the valuation uncertainty to increase.}},
author = {{Tyrstrup, Markus}},
language = {{eng}},
note = {{Student Paper}},
title = {{Is valuation uncertainty affected by ESG-ratings?}},
year = {{2024}},
}