Etiske investeringer: En performanceevaluering af etiske investeringsforeninger i Europa, UK og Skandinavien

Anders Petersen

Student thesis: Master thesis


Ethical conscious investors use a wide range of screening methods to indentify ethically responsible and sustainable companies. Based on the assumption that implementing an ethical screening process minimizes the investment universe and therefore leads to a lower return of the portfolio, this thesis sets out to investigate the performance of ethical investments in Europe. The analysis is conformed on ethical and conventional mutual funds in a period from January 2001 to October 2010. The ethical and conventional mutual funds are divided into three regional subgroups and analyzed for geographical performance differences across Europe. These three subgroups are The United Kingdom, Scandinavia and a group consisting of nine different countries in Europe. The analysis is conducted through multiple regression analysis using the Carhart (1997) fourfactor model which uses four factors to compare the risk adjusted return of a portfolio with the risk adjusted return of the market. This model is chosen based on a theoretical discussion of various performance measurement models and a meta-analysis performed on ethical investment studies. The results obtained from the analysis shows evidence that European ethical mutual funds underperform compared to the conventional reference group. The degree of underperformance varies greatly between the regions in Europe with UK showing the best ethical mutual fund performances and Europe showing the worst. Furthermore the analysis performed in this paper indicates that the excess return of the ethical mutual funds decrease when the screening process is intensified by implementing more ethical screens. Finally the analysis in this paper shows vague evidence that ethical mutual funds has performed relatively better during the time of financial crisis (2007 – 2010) compared to their conventional counterparts.

EducationsMSc in Finance and Accounting, (Graduate Programme) Final Thesis
Publication date2011
Number of pages95