| dc.description.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. | en_US |
