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Norges Bank Investment Management in relation to ESG and Financial Performance : An empirical analysis on how companies part of the Norwegian Government Pension Fund Global perform on ESG relative to the rest of the market, and how ESG relates to financial performance, both at a company level and for the fund as a whole.

Angell-Hansen, Anine; Meling, Cecilie B.
Master thesis
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URI
https://hdl.handle.net/11250/2983421
Date
2021
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  • Master Thesis [4657]
Abstract
This thesis aims to analyze how the Norwegian Government Pension Fund Global, managed

by Norges Bank Investment Management’s (NBIM), performs on environmental, social,

and governance (ESG), and what financial implications this has, both at a company level

and for the fund as a whole. At a company level, we examine how the fund’s ownership

share relates to ESG score and the relationship between ESG and financial performance

metrics regarding profitability, liquidity, and leverage. We use a fixed effects regression

model shedding light on possible differences between the fund’s investee companies and

other companies and look at mean ESG scores and returns through descriptive analysis.

The analysis further includes comparing the ESG scores and returns of three constructed

portfolios: One with the fund’s investee companies, one with non-investee companies, and

one constituting the whole sample. Finally, we apply the methodologies of Fama-French

three-factor, four-factor (Carhart), and five-factor, with and without momentum, including

an additional ESG factor to examine how ESG relates to the fund’s returns. Our findings

indicate that companies part of Norway’s Government Pension Fund Global perform

stronger on ESG and worse in terms of return relative to non-investee companies, that the

relationship between a company’s financial metrics and the ESG score differs between these

two company groups, and that more exposure to companies with high ESG historically

has positively impacted the fund’s financial performance.

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