Skip to main content

LUP Student Papers

LUND UNIVERSITY LIBRARIES

Navigating Downside Risk: The Impact of ESG Across Sectors

Ihr, Henric Anders LU and Magnusson, William LU (2024) NEKN02 20241
Department of Economics
Abstract
This study investigates the relationship between ESG scores and downside risk across various sectors in the Nordic markets from 2018 to 2022. ESG, a widely recognized concept in finance, evaluates companies’ performance based on their environmental, social, and governance practices. We examine how both the overall ESG scores and the individual pillars influence downside risk in 11 different sectors using panel regression analysis. Our findings reveal a consistent trend across the majority of sectors in the Nordics: higher ESG scores are associated with reduced downside risk. Moreover, we identify the environmental pillar as the most influential in mitigating downside risk. Interestingly, our results indicate that firms with lower ESG... (More)
This study investigates the relationship between ESG scores and downside risk across various sectors in the Nordic markets from 2018 to 2022. ESG, a widely recognized concept in finance, evaluates companies’ performance based on their environmental, social, and governance practices. We examine how both the overall ESG scores and the individual pillars influence downside risk in 11 different sectors using panel regression analysis. Our findings reveal a consistent trend across the majority of sectors in the Nordics: higher ESG scores are associated with reduced downside risk. Moreover, we identify the environmental pillar as the most influential in mitigating downside risk. Interestingly, our results indicate that firms with lower ESG scores face greater penalization in terms of downside risk compared to the reduction experienced by top performers. This suggests a pronounced effect of ESG ratings on risk management practices within Nordic markets. (Less)
Please use this url to cite or link to this publication:
author
Ihr, Henric Anders LU and Magnusson, William LU
supervisor
organization
course
NEKN02 20241
year
type
H1 - Master's Degree (One Year)
subject
keywords
Downside Risk, ESG, Expected Shortfall, Sustainable Finance, Value at Risk
language
English
id
9159027
date added to LUP
2024-08-12 15:57:20
date last changed
2024-08-12 15:57:20
@misc{9159027,
  abstract     = {{This study investigates the relationship between ESG scores and downside risk across various sectors in the Nordic markets from 2018 to 2022. ESG, a widely recognized concept in finance, evaluates companies’ performance based on their environmental, social, and governance practices. We examine how both the overall ESG scores and the individual pillars influence downside risk in 11 different sectors using panel regression analysis. Our findings reveal a consistent trend across the majority of sectors in the Nordics: higher ESG scores are associated with reduced downside risk. Moreover, we identify the environmental pillar as the most influential in mitigating downside risk. Interestingly, our results indicate that firms with lower ESG scores face greater penalization in terms of downside risk compared to the reduction experienced by top performers. This suggests a pronounced effect of ESG ratings on risk management practices within Nordic markets.}},
  author       = {{Ihr, Henric Anders and Magnusson, William}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Navigating Downside Risk: The Impact of ESG Across Sectors}},
  year         = {{2024}},
}