Is Green the New Gold? A study on the relationship between sustainability and risk of mutual funds
(2019) NEKH02 20191Department 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.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8989898
- author
- Tomsdotter von Segebaden Starberg, Victoria LU and Römbo, Max
- supervisor
- organization
- course
- NEKH02 20191
- year
- 2019
- 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}}, }