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Samvetet - En vinnande investeringsstrategi?

Lundgren, Hampus LU ; Nilsson, Magne and Zethelius, Peder (2015) FEKH89 20151
Department of Business Administration
Abstract (Swedish)
Syftet med uppsatsen är att undersöka om företag som tar ett stort ansvar och aktivt jobbar med hållbar utveckling inom miljöfrågor har genererat en över- eller underavkastning jämfört med företag som inte har en lika tydlig strategi inom hållbar utveckling inom miljö. Uppsatsen utgår från en kvantitativ ansats där empirin bygger på insamlad historisk kursdata från utvalda aktier på Stockholmsbörsen. Den primära datan är av kvantitativ karaktär och var grundläggande vid genomförandet av analysen som baseras på applicerbara ekonomiska och statistiska teorier och modeller. De utvalda aktierna användes för att konsturera portföljer med olika sammansättning för att analysera eventuella skillnader portföljerna emellan. Portföljerna jämfördes... (More)
Syftet med uppsatsen är att undersöka om företag som tar ett stort ansvar och aktivt jobbar med hållbar utveckling inom miljöfrågor har genererat en över- eller underavkastning jämfört med företag som inte har en lika tydlig strategi inom hållbar utveckling inom miljö. Uppsatsen utgår från en kvantitativ ansats där empirin bygger på insamlad historisk kursdata från utvalda aktier på Stockholmsbörsen. Den primära datan är av kvantitativ karaktär och var grundläggande vid genomförandet av analysen som baseras på applicerbara ekonomiska och statistiska teorier och modeller. De utvalda aktierna användes för att konsturera portföljer med olika sammansättning för att analysera eventuella skillnader portföljerna emellan. Portföljerna jämfördes och analyserades sedan utifrån värdeutveckling samt de riskjusterade måtten Jensens alfa och Sharpe-kvot. Utifrån studiens resultat är det svårt att dra några generella slutsatser sett till samtliga portföljers prestation. Resultaten för de olika portföljerna uppvisar inte något mönster då det varierar mellan vilken av portföljerna innehållande företag med stort ansvarstagande inom miljö eller företag med mindre välutvecklad strategi för miljöfrågor som presterat bäst mellan de olika portföljsammansättningarna. (Less)
Abstract
In the 1980s the term sustainable development was introduced and became, due to the UN report “our common future”, a wide spread concept. This and the awareness of the general public lead to the implementation of an extensive environmental policy within the Swedish legislation. Companies have different ways of approaching the policy regarding the environment; some do the bare minimum and others have comprehensive strategies to minimize their environmental footprint. A common belief is that a company’s strive for sustainability will result in significant costs. On the contrary recent studies imply that sustainability is a way of streamlining businesses that reduces costs and creates competitive advantages.
The question which we mean to... (More)
In the 1980s the term sustainable development was introduced and became, due to the UN report “our common future”, a wide spread concept. This and the awareness of the general public lead to the implementation of an extensive environmental policy within the Swedish legislation. Companies have different ways of approaching the policy regarding the environment; some do the bare minimum and others have comprehensive strategies to minimize their environmental footprint. A common belief is that a company’s strive for sustainability will result in significant costs. On the contrary recent studies imply that sustainability is a way of streamlining businesses that reduces costs and creates competitive advantages.
The question which we mean to answer in this paper is: “To which level do companies that work actively with the development of sustainability generate excess return compared to companies that do not?”
This paper takes a quantitative approach that is based on the formation of eight different portfolios. These portfolios are constructed from two groups of companies that differ in their level of sustainability. The groups are primarily based on a report conducted by Folksam in 2013. The companies are selected based on their grade of sustainability determined by Folksam, line of business and market value.  The two groups that consists of 16 different companies each, is the foundation for the construction of four portfolio types: Mean-variance (optimal), minimum variance, value weighted and equal weighted. The portfolios are observed over a time period of ten years between 2005 and 2015. In addition to being compared to each other they are also compared against the benchmark index which for this study is Stockholm OMX PI.
The portfolios have not shown a significant general trend over the selected time period and therefore not provided the result necessary to confirm the study's hypothesis. The portfolios that consist of companies with extensive environmental policy showed higher return in some cases and underperformed in others. Similar results came from the risk-adjusted return. Because of the reasons stated above no conclusion can be made about the excess return of companies with extensive environmental policies. (Less)
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author
Lundgren, Hampus LU ; Nilsson, Magne and Zethelius, Peder
supervisor
organization
course
FEKH89 20151
year
type
M2 - Bachelor Degree
subject
keywords
Portföljvalsteori, Jensens Alfa, Sharpe-kvot, Riskjusterad avkastning, Miljöarbete
language
Swedish
id
7511517
date added to LUP
2015-09-15 16:25:18
date last changed
2015-09-15 16:25:18
@misc{7511517,
  abstract     = {In the 1980s the term sustainable development was introduced and became, due to the UN report “our common future”, a wide spread concept. This and the awareness of the general public lead to the implementation of an extensive environmental policy within the Swedish legislation. Companies have different ways of approaching the policy regarding the environment; some do the bare minimum and others have comprehensive strategies to minimize their environmental footprint. A common belief is that a company’s strive for sustainability will result in significant costs. On the contrary recent studies imply that sustainability is a way of streamlining businesses that reduces costs and creates competitive advantages. 
The question which we mean to answer in this paper is: “To which level do companies that work actively with the development of sustainability generate excess return compared to companies that do not?”
This paper takes a quantitative approach that is based on the formation of eight different portfolios. These portfolios are constructed from two groups of companies that differ in their level of sustainability. The groups are primarily based on a report conducted by Folksam in 2013. The companies are selected based on their grade of sustainability determined by Folksam, line of business and market value.  The two groups that consists of 16 different companies each, is the foundation for the construction of four portfolio types: Mean-variance (optimal), minimum variance, value weighted and equal weighted. The portfolios are observed over a time period of ten years between 2005 and 2015. In addition to being compared to each other they are also compared against the benchmark index which for this study is Stockholm OMX PI.
The portfolios have not shown a significant general trend over the selected time period and therefore not provided the result necessary to confirm the study's hypothesis. The portfolios that consist of companies with extensive environmental policy showed higher return in some cases and underperformed in others. Similar results came from the risk-adjusted return. Because of the reasons stated above no conclusion can be made about the excess return of companies with extensive environmental policies.},
  author       = {Lundgren, Hampus and Nilsson, Magne and Zethelius, Peder},
  keyword      = {Portföljvalsteori,Jensens Alfa,Sharpe-kvot,Riskjusterad avkastning,Miljöarbete},
  language     = {swe},
  note         = {Student Paper},
  title        = {Samvetet - En vinnande investeringsstrategi?},
  year         = {2015},
}