Undersøgelse af ESG: Effekten på det risikojusteret afkast

Abstract

Sustainable investing is a fast-growing investment practice that has increased in popularity among institutional and private investors. This practice has increased for several reasons. One is the desire of investors to align their values and beliefs with their investments. However, most investors look for an expected return when considering an investment, and research within sustainable investing suggests that sustainable practices might even outperform their peers. This states that sustainable investing is not only good for society but also for their portfolios. This thesis, therefore, aimed to answer how various ESG strategies would affect the risk-adjusted return, with the empirical case being the European market. The study was done on 392 companies within STOXX Europe 600, and data was collected from Refinitiv Eikon's Datastream in the period 2008 to 2021. This thesis used the CAPM, Fama, and French 3-factor models and the Carhart 4-factor model to determine return.
Allthough previous literature might state and indicate a positive relationship between ESG and performance, this paper does not find that construction portfolios based on a certain decile and/or momentum strategy yield a better risk-adjusted return than the market. Neither is there any compelling evidence when controlling for different weight methodologies (e.g., market-weighted and/or equal-weighted methods). This paper finds that the reason for abnormal returns cannot be explained by the strategy or market factor, nor by the various factors provided by Fama & French or Carhart due to insignificance.