• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Norges Handelshøyskole
  • Thesis
  • Master Thesis
  • View Item
  •   Home
  • Norges Handelshøyskole
  • Thesis
  • Master Thesis
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Value relevant ESG scores and superior performance : when is a high ESG score indicative of better financial performance?

Danielsen, Thea Amalie; Johansen, Jan
Master thesis
Thumbnail
View/Open
masterthesis.pdf (1.556Mb)
URI
https://hdl.handle.net/11250/2771890
Date
2021
Metadata
Show full item record
Collections
  • Master Thesis [4207]
Abstract
Purpose - The objective of this thesis is to develop a methodology that will enable investors to differentiate between two types of companies: those with high performance on ESG issues that have the potential to significantly impact value, and those with high performance on ESG issues that do not have the potential to significantly impact value. Originality/value – The Ohlson model is used to calculate a variable based on the value relevance of a consensus ESG score, which allows us to divide companies into two groups: Companies in which ESG has an impact on value and companies in which ESG has no impact on value. Design/methodology/approach - To distinguish between companies that allocate resources to ESG issues that are not value relevant and companies that allocate resources to ESG issues that are value relevant, we use the interaction between the variable that divides the companies in our dataset into two groups and the level of the consensus ESG score. This interaction serves as the foundation for the development of two investment strategies, which are tested using two different empirical strategies, one of which represents the creation of actual portfolios applicable to an investor under realistic conditions. Findings – We find that an investment strategy based on taking a long position in companies with a high ESG score when ESG is value relevant and a short position in stocks with a high ESG score when ESG is not value relevant generates superior performance, as measured by the Sharpe ratio and the Fama French 5-factor alpha extended with the liquidity factor.

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit