Ethical Investing: A Study of Performance

Anders Johan Rustestuen Traaseth & Ulrik Elstad Framstad

Studenteropgave: Kandidatafhandlinger


This thesis sets out to measure the effect of taking ethical considerations when investing. We analyze the effect over a period from January 2002, and throughout the first half of 2015, by first comparing the risk-adjusted performance of ethical mutual funds with conventional mutual funds, and by later examining the return on single stocks against a measure of ethical behavior. By applying well known models in financial theory we find no significant difference in performance between ethical and conventional mutual funds. However, weak evidence of a slight insignificant underperformance exists. When analyzing the stocks we find that companies with higher ESG-scores have slightly outperformed companies with lower ESG-scores, with the US data being statistically significant. We also find weak evidence indicating that negative screening contributes to a loss in return for ethical investors. We finally conclude that investors who invest ethically do not sacrifice return.

UddannelserCand.merc.fin Finance and Investments, (Kandidatuddannelse) Afsluttende afhandling
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