Är grönt verkligen lönt? -En empirisk studie om effekten på riskjusterade avkastningar av att investera i miljövänliga bolag
(2019) NEKH01 20182Department of Economics
- Abstract
- This study aims to investigate whether investing in environmentally friendly companies has a positive effect on risk-adjusted returns. We construct two portfolios: one portfolio consists of the 100 highest ranked companies from Newsweek’s yearly green rankings from 2017, and one portfolio consists of 122 companies that 2018 are blacklisted for environmental reasons by four asset managers: Nordea, Statens pensjonsfond Norge, Folksam and Sjunde AP-fonden. We use the world index MSCI ACWI as a benchmark index for our portfolios. Monthly closing stock prices from October 2013 - October 2018 are used in order to compute monthly returns. Three measures of risk-adjusted returns are evaluated for each portfolio and tested for significance:... (More)
- This study aims to investigate whether investing in environmentally friendly companies has a positive effect on risk-adjusted returns. We construct two portfolios: one portfolio consists of the 100 highest ranked companies from Newsweek’s yearly green rankings from 2017, and one portfolio consists of 122 companies that 2018 are blacklisted for environmental reasons by four asset managers: Nordea, Statens pensjonsfond Norge, Folksam and Sjunde AP-fonden. We use the world index MSCI ACWI as a benchmark index for our portfolios. Monthly closing stock prices from October 2013 - October 2018 are used in order to compute monthly returns. Three measures of risk-adjusted returns are evaluated for each portfolio and tested for significance: Jensen’s Alpha, Sharpe ratio and Sortino ratio. Our tests do not indicate that investing in environmentally friendly companies has a statistically significant positive effect on risk-adjusted returns. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8969282
- author
- Lundberg, Viktor LU and Jonasson Blank, Max
- supervisor
-
- Dag Rydorff LU
- organization
- course
- NEKH01 20182
- year
- 2019
- type
- M2 - Bachelor Degree
- subject
- keywords
- Sharpekvot, Jensens Alfa, Sortinokvot, Miljö, Riskjusterade avkastningar
- language
- Swedish
- id
- 8969282
- date added to LUP
- 2019-02-15 14:48:52
- date last changed
- 2019-02-15 14:48:52
@misc{8969282, abstract = {{This study aims to investigate whether investing in environmentally friendly companies has a positive effect on risk-adjusted returns. We construct two portfolios: one portfolio consists of the 100 highest ranked companies from Newsweek’s yearly green rankings from 2017, and one portfolio consists of 122 companies that 2018 are blacklisted for environmental reasons by four asset managers: Nordea, Statens pensjonsfond Norge, Folksam and Sjunde AP-fonden. We use the world index MSCI ACWI as a benchmark index for our portfolios. Monthly closing stock prices from October 2013 - October 2018 are used in order to compute monthly returns. Three measures of risk-adjusted returns are evaluated for each portfolio and tested for significance: Jensen’s Alpha, Sharpe ratio and Sortino ratio. Our tests do not indicate that investing in environmentally friendly companies has a statistically significant positive effect on risk-adjusted returns.}}, author = {{Lundberg, Viktor and Jonasson Blank, Max}}, language = {{swe}}, note = {{Student Paper}}, title = {{Är grönt verkligen lönt? -En empirisk studie om effekten på riskjusterade avkastningar av att investera i miljövänliga bolag}}, year = {{2019}}, }