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Är grönt verkligen lönt? -En empirisk studie om effekten på riskjusterade avkastningar av att investera i miljövänliga bolag

Lundberg, Viktor LU and Jonasson Blank, Max (2019) NEKH01 20182
Department 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)
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author
Lundberg, Viktor LU and Jonasson Blank, Max
supervisor
organization
course
NEKH01 20182
year
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}},
}