ESG - Värdedrivare eller reglering
(2022) NEKH02 20212Department of Economics
- Abstract
- This thesis aim to evaluate how sustainability in terms of ESG-ratings affect portfolio performance. A portfolio strategy sorting stocks solely on ESG-ratings from MSCI will be evaluated with financial performance measures and regression analysis. Furthermore, the authors will use a quantitative method and incorporate stocks from the S&P 500. Portfolios will be rebalanced once a year to take migration between different ESG-ratings into account which is done to isolate ESG-effect to a higher extent.
The theoretical framework that will be used for assessing the portfolios are Sharpe ratio, Treynor's ratio, capital asset pricing model, Fama & French three factor model and Jensen´s alpha. Arguably this is a suitable method as many of the... (More) - This thesis aim to evaluate how sustainability in terms of ESG-ratings affect portfolio performance. A portfolio strategy sorting stocks solely on ESG-ratings from MSCI will be evaluated with financial performance measures and regression analysis. Furthermore, the authors will use a quantitative method and incorporate stocks from the S&P 500. Portfolios will be rebalanced once a year to take migration between different ESG-ratings into account which is done to isolate ESG-effect to a higher extent.
The theoretical framework that will be used for assessing the portfolios are Sharpe ratio, Treynor's ratio, capital asset pricing model, Fama & French three factor model and Jensen´s alpha. Arguably this is a suitable method as many of the previous studies conducted in this area are using similar theories to assess portfolio performance leading to a high degree of comparability.
This study has found a relationship between financial performance and portfolios consisting of stocks with higher ESG-ratings. However, there are contradicting results showing that the highest rated portfolio is not providing the best financial performance. Performance tends to decrease after reaching a certain level of ESG-rating, which indicates there is a tradeoff between ESG and portfolio performance at a certain level. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9071504
- author
- Stenberg, Fredrik LU and Stenberg, Filip LU
- supervisor
- organization
- course
- NEKH02 20212
- year
- 2022
- type
- M2 - Bachelor Degree
- subject
- keywords
- ESG, Portfolio performance, Sharpe ratio, Treynor's ratio, Asset Pricing models
- language
- Swedish
- id
- 9071504
- date added to LUP
- 2022-02-03 08:16:28
- date last changed
- 2022-02-03 08:16:28
@misc{9071504, abstract = {{This thesis aim to evaluate how sustainability in terms of ESG-ratings affect portfolio performance. A portfolio strategy sorting stocks solely on ESG-ratings from MSCI will be evaluated with financial performance measures and regression analysis. Furthermore, the authors will use a quantitative method and incorporate stocks from the S&P 500. Portfolios will be rebalanced once a year to take migration between different ESG-ratings into account which is done to isolate ESG-effect to a higher extent. The theoretical framework that will be used for assessing the portfolios are Sharpe ratio, Treynor's ratio, capital asset pricing model, Fama & French three factor model and Jensen´s alpha. Arguably this is a suitable method as many of the previous studies conducted in this area are using similar theories to assess portfolio performance leading to a high degree of comparability. This study has found a relationship between financial performance and portfolios consisting of stocks with higher ESG-ratings. However, there are contradicting results showing that the highest rated portfolio is not providing the best financial performance. Performance tends to decrease after reaching a certain level of ESG-rating, which indicates there is a tradeoff between ESG and portfolio performance at a certain level.}}, author = {{Stenberg, Fredrik and Stenberg, Filip}}, language = {{swe}}, note = {{Student Paper}}, title = {{ESG - Värdedrivare eller reglering}}, year = {{2022}}, }