Preferenser för hög ESG eller högre moment?
(2021) NEKH02 20202Department of Economics
- Abstract (Swedish)
- Most existing literature uses a mean-variance frame-work for evaluating expected stock returns and ESG (environmental, social and governance) performance. At the same time, it is argued that the risk mitigation offered by high ESG should lead to higher skewness and lower kurtosis in stock returns. It is also well established that investors have positive preferences for skewness and negative preferences for kurtosis which means that the existing literature cannot disentangle ESG preferences from higher moment preferences. Our contribution is to measure ESG and stock market performance using a newly developed performance measure that allows for separation between ESG and higher moment preferences. The results, obtained using Swedish... (More)
- Most existing literature uses a mean-variance frame-work for evaluating expected stock returns and ESG (environmental, social and governance) performance. At the same time, it is argued that the risk mitigation offered by high ESG should lead to higher skewness and lower kurtosis in stock returns. It is also well established that investors have positive preferences for skewness and negative preferences for kurtosis which means that the existing literature cannot disentangle ESG preferences from higher moment preferences. Our contribution is to measure ESG and stock market performance using a newly developed performance measure that allows for separation between ESG and higher moment preferences. The results, obtained using Swedish Morningstar data from 2016-2020, show a decreasing risk-adjusted return in ESG scores which is consistent with investors having positive preferences for sustainability. Further, we show that these results are not due to preferences for higher moments or traditional covariance risk. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9035791
- author
- Söderqvist, Isabella LU and Andersson, Moa LU
- supervisor
- organization
- course
- NEKH02 20202
- year
- 2021
- type
- M2 - Bachelor Degree
- subject
- keywords
- ESG, risk, kurtosis, skewness, preferences
- language
- Swedish
- id
- 9035791
- date added to LUP
- 2021-03-11 11:54:39
- date last changed
- 2021-03-11 11:54:39
@misc{9035791, abstract = {{Most existing literature uses a mean-variance frame-work for evaluating expected stock returns and ESG (environmental, social and governance) performance. At the same time, it is argued that the risk mitigation offered by high ESG should lead to higher skewness and lower kurtosis in stock returns. It is also well established that investors have positive preferences for skewness and negative preferences for kurtosis which means that the existing literature cannot disentangle ESG preferences from higher moment preferences. Our contribution is to measure ESG and stock market performance using a newly developed performance measure that allows for separation between ESG and higher moment preferences. The results, obtained using Swedish Morningstar data from 2016-2020, show a decreasing risk-adjusted return in ESG scores which is consistent with investors having positive preferences for sustainability. Further, we show that these results are not due to preferences for higher moments or traditional covariance risk.}}, author = {{Söderqvist, Isabella and Andersson, Moa}}, language = {{swe}}, note = {{Student Paper}}, title = {{Preferenser för hög ESG eller högre moment?}}, year = {{2021}}, }