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ESG and stock market performance : An Empirical Study of the Link between ESG Performance and Stock Performance of Scandinavian Companies

Ismaili, Omar Båfjord; Kjøsnes, Adrian Ekroll
Master thesis
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URI
https://hdl.handle.net/11250/2985544
Date
2021
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  • Master Thesis [4207]
Abstract
This thesis investigates the relationship between environmental, social, and corporate

governance (ESG) performance and stock performance in Scandinavia between 2011-2020.

We analyze the difference in stock performance between companies with high and low ESG

performance. To measure ESG performance, we apply various ESG ratings from Refinitiv.

Using a long-short zero investment strategy, we examine differences in stock performance

between high and low ESG rated companies. By employing Fama-French three-, four-

(Carhart) and five-factor models, we control for possible different risk exposures between

the portfolios. The portfolios based on ESG score show a neutral relationship. The neutral

relationship is consistent when controlling for ESG controversies, the company’s media

exposure related to ESG incidents. Amongst the three ESG dimensions, we also find

a neutral relationship with portfolios based environmental and social scores. However,

screening on governance score, the strategy leads to abnormal returns, indicating a positive

relationship.

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