Does Money Really Grow on Trees?
(2024) IBUH19 20241Department of Business Administration
- Abstract
- The interplay between ESG scores and stock performance continues to captivate investors and researchers alike, yet consensus remains elusive, highlighting the need for further academic endeavour. This thesis investigates the impact of a company's ESG score on its stock performance in terms of expected returns. Specifically, it examines disparities in this relationship between two
case countries: Sweden and India, representing a developed and an emerging market respectively. The study contributes to existing literature by comparing two countries at different stages in their ESG journey, supporting scholar’s recent pursuit in closing the gap in the research field examining emerging markets. The relationship is explored by using multifactor... (More) - The interplay between ESG scores and stock performance continues to captivate investors and researchers alike, yet consensus remains elusive, highlighting the need for further academic endeavour. This thesis investigates the impact of a company's ESG score on its stock performance in terms of expected returns. Specifically, it examines disparities in this relationship between two
case countries: Sweden and India, representing a developed and an emerging market respectively. The study contributes to existing literature by comparing two countries at different stages in their ESG journey, supporting scholar’s recent pursuit in closing the gap in the research field examining emerging markets. The relationship is explored by using multifactor asset-pricing models and panel data regression analysis on ESG-rated portfolios with data from 2015-2022. The results indicate that 1) low-ESG portfolios outperform high-ESG portfolios in both Sweden and India, 2) Swedish low-ESG portfolios outperform Indian low-ESG portfolios, and 3) Swedish high-ESG portfolios underperform Indian high-ESG portfolios. This study demonstrates that the relationship between ESG scores and expected returns is stronger in Sweden than in India, suggesting differences in investor behaviour and ESG investing between the two countries. The results from this study can add a piece to the complex and disputed puzzle of SRI, serving as a stepping stone for future research on the relationship between ESG and stock returns in developed and emerging markets. For practice, the results are valuable for several stakeholders, including investors, companies, and policymakers who can utilise this information to integrate ESG into investment strategies, corporate strategies, and promote efficient financial markets. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9168009
- author
- Kuhn, Amanda Katarina LU ; Appelholm, Ella LU and Åstenius, Cassandra LU
- supervisor
- organization
- course
- IBUH19 20241
- year
- 2024
- type
- M2 - Bachelor Degree
- subject
- keywords
- ESG, stock performance, sustainable investing, socially responsible investing, expected returns, developed markets, emerging markets
- language
- English
- id
- 9168009
- date added to LUP
- 2024-08-07 17:43:56
- date last changed
- 2024-08-07 17:43:56
@misc{9168009,
abstract = {{The interplay between ESG scores and stock performance continues to captivate investors and researchers alike, yet consensus remains elusive, highlighting the need for further academic endeavour. This thesis investigates the impact of a company's ESG score on its stock performance in terms of expected returns. Specifically, it examines disparities in this relationship between two
case countries: Sweden and India, representing a developed and an emerging market respectively. The study contributes to existing literature by comparing two countries at different stages in their ESG journey, supporting scholar’s recent pursuit in closing the gap in the research field examining emerging markets. The relationship is explored by using multifactor asset-pricing models and panel data regression analysis on ESG-rated portfolios with data from 2015-2022. The results indicate that 1) low-ESG portfolios outperform high-ESG portfolios in both Sweden and India, 2) Swedish low-ESG portfolios outperform Indian low-ESG portfolios, and 3) Swedish high-ESG portfolios underperform Indian high-ESG portfolios. This study demonstrates that the relationship between ESG scores and expected returns is stronger in Sweden than in India, suggesting differences in investor behaviour and ESG investing between the two countries. The results from this study can add a piece to the complex and disputed puzzle of SRI, serving as a stepping stone for future research on the relationship between ESG and stock returns in developed and emerging markets. For practice, the results are valuable for several stakeholders, including investors, companies, and policymakers who can utilise this information to integrate ESG into investment strategies, corporate strategies, and promote efficient financial markets.}},
author = {{Kuhn, Amanda Katarina and Appelholm, Ella and Åstenius, Cassandra}},
language = {{eng}},
note = {{Student Paper}},
title = {{Does Money Really Grow on Trees?}},
year = {{2024}},
}