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Investing Responsibly - Benefits for the Ethical Investor

Ringkvist, Robin LU and Borovac, Emir LU (2014) NEKH01 20132
Department of Economics
Abstract
This thesis discusses whether Corporate Social Responsibility (CSR) can affect a company’s, and consequently a portfolio’s, stock market performance. The study presupposes the regular assumptions drawn from CAPM. By creating three different portfolios, consisting of companies with similar financial characteristics, but with different levels of CSR-involvement, we investigate how the CSR-factor may affect stock market performance. The data used in this study is based on a monthly basis over the last ten years. We perform statistical tests and calculate common risk measures for the portfolios, e.g. Sharpe ratio and Treynor’s index. The results show that it can, in fact, be profitable for an investor to consider CSR-factors when making... (More)
This thesis discusses whether Corporate Social Responsibility (CSR) can affect a company’s, and consequently a portfolio’s, stock market performance. The study presupposes the regular assumptions drawn from CAPM. By creating three different portfolios, consisting of companies with similar financial characteristics, but with different levels of CSR-involvement, we investigate how the CSR-factor may affect stock market performance. The data used in this study is based on a monthly basis over the last ten years. We perform statistical tests and calculate common risk measures for the portfolios, e.g. Sharpe ratio and Treynor’s index. The results show that it can, in fact, be profitable for an investor to consider CSR-factors when making investment decisions. (Less)
Please use this url to cite or link to this publication:
author
Ringkvist, Robin LU and Borovac, Emir LU
supervisor
organization
course
NEKH01 20132
year
type
M2 - Bachelor Degree
subject
keywords
Finance, ESG, CSR, Emerging markets, Portfolio evaluation
language
English
id
4301114
date added to LUP
2014-02-12 09:31:41
date last changed
2014-02-12 09:36:47
@misc{4301114,
  abstract     = {This thesis discusses whether Corporate Social Responsibility (CSR) can affect a company’s, and consequently a portfolio’s, stock market performance. The study presupposes the regular assumptions drawn from CAPM. By creating three different portfolios, consisting of companies with similar financial characteristics, but with different levels of CSR-involvement, we investigate how the CSR-factor may affect stock market performance. The data used in this study is based on a monthly basis over the last ten years. We perform statistical tests and calculate common risk measures for the portfolios, e.g. Sharpe ratio and Treynor’s index. The results show that it can, in fact, be profitable for an investor to consider CSR-factors when making investment decisions.},
  author       = {Ringkvist, Robin and Borovac, Emir},
  keyword      = {Finance,ESG,CSR,Emerging markets,Portfolio evaluation},
  language     = {eng},
  note         = {Student Paper},
  title        = {Investing Responsibly - Benefits for the Ethical Investor},
  year         = {2014},
}