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How much do you need to care about ESG investing in the Nordics?

Alla, Amanda LU (2024) NEKH02 20232
Department of Economics
Abstract
This research delves into the nuanced relationship between Environmental, Social, and Governance (ESG) considerations and portfolio performance in the Nordic stock market. Employing the mean-variance method, this study analyzes in-sample (2013-2017) and out-of-sample (2018-2023) periods, comparing high and low-rated E-, S-, G-, and ESG portfolios against the Nordic index OMX40. Findings suggest a neutral or slightly negative relationship between ESG and financial performance. Low E-stocks show higher risk-adjusted returns and low G-stocks exhibit superior returns. The research underscores the significance of considering regional-, sectorial and company size biases and the limitations of ESG ratings, providing valuable insights for... (More)
This research delves into the nuanced relationship between Environmental, Social, and Governance (ESG) considerations and portfolio performance in the Nordic stock market. Employing the mean-variance method, this study analyzes in-sample (2013-2017) and out-of-sample (2018-2023) periods, comparing high and low-rated E-, S-, G-, and ESG portfolios against the Nordic index OMX40. Findings suggest a neutral or slightly negative relationship between ESG and financial performance. Low E-stocks show higher risk-adjusted returns and low G-stocks exhibit superior returns. The research underscores the significance of considering regional-, sectorial and company size biases and the limitations of ESG ratings, providing valuable insights for stakeholders in sustainable finance. (Less)
Please use this url to cite or link to this publication:
author
Alla, Amanda LU
supervisor
organization
course
NEKH02 20232
year
type
M2 - Bachelor Degree
subject
keywords
ESG investing, mean-variance optimization, ESG portfolio comparison
language
English
id
9147025
date added to LUP
2024-04-16 09:26:04
date last changed
2024-04-16 09:26:04
@misc{9147025,
  abstract     = {{This research delves into the nuanced relationship between Environmental, Social, and Governance (ESG) considerations and portfolio performance in the Nordic stock market. Employing the mean-variance method, this study analyzes in-sample (2013-2017) and out-of-sample (2018-2023) periods, comparing high and low-rated E-, S-, G-, and ESG portfolios against the Nordic index OMX40. Findings suggest a neutral or slightly negative relationship between ESG and financial performance. Low E-stocks show higher risk-adjusted returns and low G-stocks exhibit superior returns. The research underscores the significance of considering regional-, sectorial and company size biases and the limitations of ESG ratings, providing valuable insights for stakeholders in sustainable finance.}},
  author       = {{Alla, Amanda}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{How much do you need to care about ESG investing in the Nordics?}},
  year         = {{2024}},
}