Investing in sustainability : the risk-adjusted performance of European mutual funds committed to sustainable and responsible investing
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- Master Thesis 
This paper examines the relationship between sustainability and traditional financial aspects. Sustainable development has manifested itself to financial markets and the newly launched Morningstar Sustainability Rating serves investors with quantifiable and objective measures of mutual funds sustainability. We use this measure to infer causality between financial performance and investment style and find no statistical evidence that there exist a riskadjusted performance advantage or disadvantage from investing in sustainability. The findings imply that there is no additional cost related to investing in sustainable mutual funds, which might be interesting for value-driven investors. The funds categorized as the most sustainable are found to be more sensitive to market and large capitalization stock returns relative to the funds categorized as being the least sustainable. Our findings are robust for a range of sustainability definitions, management fees and transaction cost.