A Study of the Relationships Between Corporate Social Performance Financial Performance and Idiosyncratic Risks

Mateusz Rosol

Studenteropgave: Kandidatafhandlinger


This thesis studies the relationships between corporation social performance (CSP), corporation finance performance (CFP), and firm risk. The relations between ESG measures, market returns, and idiosyncratic risks were analyzed using a panel set of European firms during the period 2001-2016.
An investigation was conducted to determine any distinction between the relationship shared by ESG measures and downside idiosyncratic risk in comparison to that between ESG measures and upside idiosyncratic. There does not appear to be a distinction in our data.
A mediation analysis was conducted to determine whether there was any evidence that the relationship between ESG measures and market returns is mediated by idiosyncratic risk. The results were inconclusive.

UddannelserCand.merc.fin Finance and Investments, (Kandidatuddannelse) Afsluttende afhandling
Antal sider91
VejledereCristiana Parisi