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Is there a performance trade-off by choosing sustainable?

Blosse, Laban LU and Montelius, Erik LU (2021) NEKN02 20211
Department of Economics
Abstract
This paper investigates the performance differences between sustainable and unsustainable funds, measured by ESG rating, over the time period of January 2006 to December 2020 on OMX Stockholm. It also sheds light on the performance differences between unsustainable funds and unsustainable funds claiming to be sustainable, i.e. greenwashers. The paper uses Fama and French five-factor model and time series data to extend previous research within fund performance and ESG screening, and furthermore exposes greenwashing problems in the fund investment industry. The paper finds evidence that there exists a performance trade-off by investing in sustainable funds and furthermore finds no evidence that greenwashing funds perform differently from... (More)
This paper investigates the performance differences between sustainable and unsustainable funds, measured by ESG rating, over the time period of January 2006 to December 2020 on OMX Stockholm. It also sheds light on the performance differences between unsustainable funds and unsustainable funds claiming to be sustainable, i.e. greenwashers. The paper uses Fama and French five-factor model and time series data to extend previous research within fund performance and ESG screening, and furthermore exposes greenwashing problems in the fund investment industry. The paper finds evidence that there exists a performance trade-off by investing in sustainable funds and furthermore finds no evidence that greenwashing funds perform differently from their ESG-peers. The study, furthermore, generates indications of the advantages that greenwashing funds obtain, compared to unsustainable and sustainable funds, by marketing themselves as sustainable. (Less)
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author
Blosse, Laban LU and Montelius, Erik LU
supervisor
organization
course
NEKN02 20211
year
type
H1 - Master's Degree (One Year)
subject
keywords
ESG, Fund performance, Greenwashing, Portfolio analysis, Sustainability
language
English
id
9050291
date added to LUP
2021-10-26 08:16:08
date last changed
2021-10-26 08:16:08
@misc{9050291,
  abstract     = {{This paper investigates the performance differences between sustainable and unsustainable funds, measured by ESG rating, over the time period of January 2006 to December 2020 on OMX Stockholm. It also sheds light on the performance differences between unsustainable funds and unsustainable funds claiming to be sustainable, i.e. greenwashers. The paper uses Fama and French five-factor model and time series data to extend previous research within fund performance and ESG screening, and furthermore exposes greenwashing problems in the fund investment industry. The paper finds evidence that there exists a performance trade-off by investing in sustainable funds and furthermore finds no evidence that greenwashing funds perform differently from their ESG-peers. The study, furthermore, generates indications of the advantages that greenwashing funds obtain, compared to unsustainable and sustainable funds, by marketing themselves as sustainable.}},
  author       = {{Blosse, Laban and Montelius, Erik}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Is there a performance trade-off by choosing sustainable?}},
  year         = {{2021}},
}