How much do you need to care about ESG investing in the Nordics?
(2024) NEKH02 20232Department 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:
http://lup.lub.lu.se/student-papers/record/9147025
- author
- Alla, Amanda LU
- supervisor
- organization
- course
- NEKH02 20232
- year
- 2024
- 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}}, }