This Thesis studies the effect of Environmental, Social and Governance considerations in European investor’s portfolio performance between 2009-2019. More specifically, itconstructslow-ranked portfolios by selecting the 250 worst performers in each of the metrics. By applying well-known models in financial theory, the results suggest that low-ranked portfolios significantly underperform the market and have a tendency for small capitalization value stocks with bad momentum. The results are constant along the portfolio implying that there is no significant difference between metric considerations. The research suggests that the European profit-driven investor is penalized for engaging in a ‘’worst-in-class’’ strategy and that portfolio performance does not seem to benefit from low-sustainability criteria.
|Uddannelser||Cand.merc.aef Applied Economics and Finance, (Kandidatuddannelse) Afsluttende afhandling|