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Is Green the New Gold? A study on the relationship between sustainability and risk of mutual funds

Tomsdotter von Segebaden Starberg, Victoria LU and Römbo, Max (2019) NEKH02 20191
Department of Economics
Abstract
This thesis aims to investigate the relationship between the level sustainability and the level of risk for mutual equity funds. As the demand for more sustainable investment options increases, mutual funds have become more aware about positioning themselves as sustainable. The thesis studies 61 mutual equity funds using the Morningstar Sustainability Rating-score with a five-year daily data set, panel data time series, and regressions are made with different performance and risk measurements. Three of the regressions gave significant results. It showed that sustainability has a positive coefficient for the Jensen alpha and negative coefficient for Sharpe-ratio and standard deviation.
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author
Tomsdotter von Segebaden Starberg, Victoria LU and Römbo, Max
supervisor
organization
course
NEKH02 20191
year
type
M2 - Bachelor Degree
subject
keywords
Environmental Social Governance, Mutual Funds, Performance Measurement, Risk Measurement, Sustainability
language
English
id
8989898
date added to LUP
2019-08-08 11:30:49
date last changed
2019-08-08 11:30:49
@misc{8989898,
  abstract     = {{This thesis aims to investigate the relationship between the level sustainability and the level of risk for mutual equity funds. As the demand for more sustainable investment options increases, mutual funds have become more aware about positioning themselves as sustainable. The thesis studies 61 mutual equity funds using the Morningstar Sustainability Rating-score with a five-year daily data set, panel data time series, and regressions are made with different performance and risk measurements. Three of the regressions gave significant results. It showed that sustainability has a positive coefficient for the Jensen alpha and negative coefficient for Sharpe-ratio and standard deviation.}},
  author       = {{Tomsdotter von Segebaden Starberg, Victoria and Römbo, Max}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Is Green the New Gold? A study on the relationship between sustainability and risk of mutual funds}},
  year         = {{2019}},
}