dc.contributor.advisor | Gjølberg, Ole | |
dc.contributor.author | Taghawi Moussawi, Julian | |
dc.date.accessioned | 2019-08-14T13:13:28Z | |
dc.date.available | 2019-08-14T13:13:28Z | |
dc.date.issued | 2019 | |
dc.identifier.uri | http://hdl.handle.net/11250/2608324 | |
dc.description.abstract | This paper studies the performance of 146 mutual funds with a Norwegian International Securities Identification Number (ISIN). Dividing the sample into quintiles based on a variety of metrics within Morningstar Sustainability Rating, I find no evidence of a marked-based outperformance by the top or bottom quintile funds. This would indicate that there currently exists no financial benefits or drawbacks to investing in high (or low) ESG-rated funds. However, there is a recurring notion of a geographical bias in the distribution of sustainability ratings. When isolating European-categorized funds (n=67) in the data for a more homogenous investment universe, several alphas are significant at the 10% level. The results show that the superior sustainability metric in the study; the Historical Portfolio Sustainability Score provides a monthly alpha of 0,4% in the top rating quintile and a 0,3% monthly excess alpha over the bottom quintile. In accordance with previous research, superior governance performance is found to influence risk-adjusted returns in a positive, statistically significant manner. Furthermore, I find evidence of an existing ESG-momentum effect in the Norwegian mutual fund market. Performance gains from increasing ESG-scores could indicate an existing reward connected to buying low sustainability funds and investing efforts into improving the funds’ sustainability through being an active shareholder. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Norwegian University of Life Sciences, Ås | nb_NO |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | Sustainability | nb_NO |
dc.subject | Finance | nb_NO |
dc.subject | Investing | nb_NO |
dc.title | Sustainable Investing : is there a relationship between ESG ratings and fund performance? | nb_NO |
dc.type | Master thesis | nb_NO |
dc.description.version | submittedVersion | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210 | nb_NO |
dc.source.pagenumber | 77 | nb_NO |
dc.description.localcode | M-ØA | nb_NO |