| dc.description.abstract | This thesis investigates whether there is a difference in stock returns for the Norwegian Oil
Fund and the companies they exclude from their investment universe due to breaches of their
ethical guidelines between 2006 and 2022. We analyze the returns from the excluded
companies and the Oil Fund with the Fama-French five-factor model and split the excluded
stocks into sub-portfolios to investigate if there is a difference in returns for sectors, markets
and reason for exclusion. In addition to previous work, we also investigate if there is a
correlation between the yearly returns and the ESG score for the excluded companies and the
100 largest companies in the Oil Fund measured by investment size.
In line with previous research, our findings suggest that the excluded companies have
outperformed the Oil Fund between 2006 and 2022. Moreover, eight out of nine sub-portfolios
deliver excessive returns compared to the Oil Fund. We find that ESG scores and yearly returns
are positively correlated for the excluded companies and negatively correlated for the 100
largest companies in the Oil Fund. | en_US |
