Samband mellan ESG-betyg och riskjusterad avkastning på Nasdaq 100

Abstract

This study has been carried out due to the differences in consensus in previous research regarding the relationship between ESG-score and risk-adjusted return. The purpose of this study is to analyze the connection between the ESG-score and risk-adjusted return in equity portfolios. A quantitative research method has been used as method along with a deductive approach. The collected empirical data has been used to investigate whether the theories and previous research are correct or not through analysis. The selection in this study has been carried out through a selection in shares from Nasdaq 100. The selected shares were sorted according to its ESG-score in four separate portfolios. Thereafter, the four portfolios’ performance has been evaluated through sharp ratio, treynor’s ratio and a regression analysis of jensen’s alpha. The results show that no pattern can be found in the connection between ESG-score and risk-adjusted return. This study has not found a statistically significant relationship between ESG-score and risk-adjusted return among the portfolios that were sorted by ESG-score on the Nasdaq 100. This study has contributed with more research on the subject to meet the current split in consensus on whether there is a connection between
ESG-score and risk-adjusted return.

Date of Award	2022-Jun
Original language	Swedish
Supervisor	Elias Bengtsson (Supervisor), Emil Numminen (Assessor) & Heléne Tjärnemo (Examiner)