Ethical investments

Magnús Berg Magnússon & Trygve Eriksen Dyremyhr

Student thesis: Master thesis


This paper investigates the difference in risk-adjusted performance of ethical funds in the US, Europe and Scandinavia compared to regional market indices in the period from January 2006 to December 2010. Estimated by the Jensen’s alpha, after controlling for size, book-to-market and stock price momentum, we find evidence that European ethical funds outperform the market index during the five year period by 3.9% yearly. We do not find any statistically significant difference in the returns of US ethical funds and the market index, while we find weak evidence supporting that Scandinavian ethical funds outperform the market index.

EducationsMSc in Finance and Strategic Management, (Graduate Programme) Final Thesis
Publication date2011
Number of pages104