A growing concern among investors for social responsibility in relation to the business world and its effect on the environment, society, and government has increased and therefore different types of stock indices and funds that incorporate socially responsible ideals have been developed. However, a literature review revealed that there does not seem to be much information about the volatility of Green Funds or Socially Responsible Investments (SRI). Volatility is an important part of understanding the financial markets and is used by many to understand asset allocation, risk management, option pricing and many other functions. Therefore, the purpose of this thesis is to investigate the volatility performance of SRIs, REFs and Conventional Indices by using different models CAPM, SR, JA and EGARCH, and monthly and daily data from the US, UK, Japan and Eurozone financial markets to compare results.   This thesis has been conducted by following an objective ontological and positivist epistemological position, because the data used for analysis in this thesis is independent from the author and has studied what actually exists, not what the author seeks to interpret. The research approach is functionalist, because this thesis sought to explain how the investments function in relation to volatility comparisons in different financial markets and if this volatility can be predicted through a framework of rules designed by previous researchers. The design is a deductive study of quantitative, longitudinal, secondary data, because hypotheses are derived from theory to test the volatility of time series data between the year 2007 and 2012 through empirical evidence.   Statistical evidence was found to suggest that the EGARCH model for volatility measurement is the best fit to model volatility and daily data can give more information and better consistency between results. SRIs were found to be less volatile than CIs in all financial markets; REFs were found more volatile than CIs in the US and Eurozone markets but not in the UK and Japan markets; REFs were found to be more volatile than SRIs in all markets except the UK; REFs were also found to be more volatile than SRIs and CIs during a recession in all markets except the UK. Evidence also indicated that the correlations between REFs and SRIs in the US and Eurozone were significant, but not significant in the UK and Japan market samples. The correlations were low between the UK and Japan SRIs, Japan and Eurozone SRIs and Japan SRI and Eurozone REF, which suggest that an investor may consider to diversify between these investments. However, all other statistically significant correlations between financial markets were high and could consequentially deliver poor long term investment performance.

En global trend inom finansbranschen har varit ett ökat intresse för hållbara och ansvarsfulla investeringar från både privata investerare som vid fondbolagens komponering av fonder. I Sverige sparar majoriteten av befolkningen i fonder och en markant tillväxt bland hållbara fonder har skett. Det privata sparandet har flyttats från sparkonto till olika typer av värdepapper såsom fonder. Trots det ökade intresset föreligger ingen definition av hållbara investeringar. Syftet med studien var att förklara urvalsprocessen vid komponering av hållbara placeringsprodukter för att öka investerares kunskap om vilka premisser fondbolag inkluderar i Socially Responsible Investments fonder. I studien intervjuades tre hållbarhetsansvariga i svenska fondbolag samt en aktieanalytiker. Intervjufrågorna kretsade kring vilka premisser fondbolagen inkluderar i sina hållbara fonder samtidigt fick respondenten belysa sin framtidstro på hållbara fonder. Studiens resultat visade på att samtliga fondbolag använder samma urvalsmetoder och följde samma urvalskriterier vid komponering av sina hållbara placeringsprodukter. Legitimitet och ekonomiskt incitament är bidragande begrepp i föreliggande studie. Resultatet som framkom var att även ifall fondbolagen tagit beslut utifrån det ena incitament så finns det kopplingar till det andra underliggande incitamentet. / A global trend in the financial sector has been an increased interest in sustainable and responsible investments from both private investors and the fund companies' composition of funds. In Sweden, most of the population saves in funds and a significant growth among sustainable funds has taken place. Private savings have been transferred from savings accounts to various types of securities such as funds. Despite the increased interest, there is no definition of sustainable investment. The purpose of the study was to explain the selection process when composing sustainable investment products to increase investors' knowledge of the premises of fund companies in Socially Responsible Investment funds.The study interviewed three sustainability managers in Swedish fund companies and one equity analyst. The interview questions revolved around what premises the fund companies include in their sustainable funds at the same time the respondent had to shed light on his future belief in sustainable funds. The study's results showed that all fund companies use the same selection methods and followed the same selection criteria when composing their sustainable investment products. Legitimacy and financial incentive are contributing concepts in the present study. The result that emerged was that even if the fund companies made decisions based on one incentive, there are links to the other underlying incentive.

During recent years many fund managers have merchandised their funds as accounting for “ethical”, “responsible” and “sustainable” criterions during the investment process (the generic term “ESG funds” will be used hereafter). These managers have used this as a marketing tool and claimed that this brings added value to their investors.  However, it has been very hard for investors to actually determine if the fund managers have been following these announced “ESG” criterions and strategies. In addition to this there have been a lot of discussions around whether or not funds that incorporate “ESG” criterions during their investment process sacrifice return in order to fulfill their obligations.   During March this year Morningstar launched the first independent rating that aims to evaluate how the underlying holdings in fund, i.e. companies in which the fund own shares, manage environmental, social and governance (ESG) matters. By analyzing the underlying holdings from the aspects mentioned above, Morningstar has been able to aggregate this information into a sustainability measure for funds. This new sustainability measure has been named Morningstar Sustainability Rating™, which is a rating for how sustainable a fund is.   This thesis address questions regarding how ESG funds, or rather funds that market themselves as ESG funds, tend to have different attributes compared to traditional funds in the Nordic countries Sweden, Denmark, Finland and Norway. The specific attributes that has been examined are relative fund flows, total returns, risk-adjusted ratings and sustainability ratings.   The results suggest that ESG funds do not show a difference in Sustainability Ratings compared to traditional funds. Furthermore, it could be verified that ESG funds in some cases generate higher relative fund flows compared to traditional funds. It has also been confirmed that these ESG funds actually outperforms traditional funds from a total return perspective.

<p>The review of the ethical funds literature shows the significant growth of the Socially Responsible Investments (SRI) in the last few decades. The increase of the interest towards SRI indicates that ethical issues have become more essential for the investors. However the number of surveys reveals that financial performance remains of an important concern for the socially responsible investors. Therefore the benchmark analysis of the expected returns and management fees of the ethical mutual funds is chosen as a topic for this thesis research. The risk-adjusted measures are used to analyze and compare the performance of the ethical and non-ethical mutual funds in United Kingdom. The analysis does not indicate the significant difference in the expected returns between the two groups of funds. However this study concludes that on average ethical funds charge higher management fees. Thus investing in ethical funds is more costly but gives about the same returns as investing in conventional funds.</p>

In recent years socially responsible investing has become an increasingly more popular subject with both private and institutional investors. At the same time, a number of scientific papers have been published on socially responsible investments (SRIs), covering a broad range of topics, from what actually defines SRIs to the financial performance of SRI funds in contrast to non-SRI funds. In this paper, we revisit Markowitz' Portfolio Selection Theory and propose a modification allowing to incorporate not only asset-specific return and risk but also a social responsibility measure into the investment decision making process. Together with a risk-free asset, this results in a three-dimensional capital allocation plane that allows investors to custom-tailor their asset allocations and incorporate all personal preferences regarding return, risk and social responsibility. We apply the model to a set of over 6,231 international stocks and find that investors opting to maximize the social impact of their investments do indeed face a statistically significant decrease in expected returns. However, the social responsibility/risk-optimal portfolio yields a statistically significant higher social responsibility rating than the return/risk-optimal portfolio.

The review of the ethical funds literature shows the significant growth of the Socially Responsible Investments (SRI) in the last few decades. The increase of the interest towards SRI indicates that ethical issues have become more essential for the investors. However the number of surveys reveals that financial performance remains of an important concern for the socially responsible investors. Therefore the benchmark analysis of the expected returns and management fees of the ethical mutual funds is chosen as a topic for this thesis research. The risk-adjusted measures are used to analyze and compare the performance of the ethical and non-ethical mutual funds in United Kingdom. The analysis does not indicate the significant difference in the expected returns between the two groups of funds. However this study concludes that on average ethical funds charge higher management fees. Thus investing in ethical funds is more costly but gives about the same returns as investing in conventional funds.

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Institutional investors are increasing their ownership in corporations and therefore their influence on financial markets is expanding. The Swedish public pension funds are one of Sweden’s largest institutional investors, holding capital for pension savers that amount to 1 123 billion Swedish Kronor. Media and non-governmental organizations’ attention on institutional investors’ corporate engagement have put pressure on their work with socially responsible investments. The Swedish public pension funds are no exception. Recent reports reveal that the pension funds are still owners in fossil fuel intensive corporations as well as firms connected with human rights violations. The aim of this study is to identify factors that influence pension funds’ view on socially responsible investments. Particular focus is directed towards the funds’ view on corporations that are highly involved in fossil fuel emissions. The study is presented as a case study in which a comparison of management between two of Sweden´s public pension funds is made in order to define how the attitude towards socially responsible investments affect the choices of instruments of influence that are used in corporate engagement. The findings of the study argue that the two funds use similar instruments of influence in their corporate engagement. However, differences in how the instruments are applied exist and the study reveals that the two funds’ approaches to corporations that are highly involved in fossil fuel emissions are different. Conclusions from the study are that the funds’ work with socially responsible investments is based on the mandate to serve the Swedish citizens and manage their retirement money in a desirable way. The study argues that the funds’ view on socially responsible investments is based on their role as representatives for the majority of individuals in Sweden and that the funds actions, consequently, should reflect the majority opinion of the Swedish society.

The aim of this thesis is to investigate whether certain information, in this case, ESG rating, contributes to better firm performance on the stock market during Covid-19, or whether variables such as size and industry have a higher degree of explanation. The thesis takes on a quantitative method and uses statistical models to analyze secondary data from Refinitiv Eikon. Empirical results provide no evidence that ESG ratings would affect stock market performance during Covid-19. Furthermore, size and industry do not increase the degree of explanation for the relationship. This can be explained by investors' outlook on sustainable investments and the relevance of ESG on the Swedish stock market. Previous research on the relationship between performance in the stock market and ESG ratings has mainly examined larger economies such as the US and the UK or had a global focus. By focusing on the Swedish stock market and including the variables size and industry in the relationship between stock performance and ESG, the thesis adds to a further understanding of the Swedish stock market. This thesis also broadens the perspective of ESG by questioning it as a relevant source of information.

The concept Enviromental, Social and Governance (ESG) has become an issue of growing importance and relevance, with sustainability-related investments soaring in the recent decade. In Sweden, private equity represents a large portion of the capital markets. As a result, private equity is an intriguing case study in developing ESG investments. This thesis analyzes how different Nordic private equity companies work with ESG within the investing process. The fundamental causes of ESG's ascent and the momentum of the investing theme were found via a qualitative study based on semi-structured interviews with eight private equity associates and seven with traditional- and investment banks. According to the findings, the current incentive is driven by more significant knowledge of ESG-related risks and possibilities, altering personal beliefs and legislative expectations. Given the sector's possibility to influence change inside their investment firms via governance-, operational-, financial-, and ESG-methods, the respondents found a point of agreement in their confidence that ESG would have a substantial long-term influenceon the private equity industry. Even though the private equity industry is aware of sustainability, stakeholders have yet to agree on definitions and the most effective ways to incorporate it into investment operations. ESG is virtually entirely evaluated for typical private equity firms during the pre-investment process, often known as the screening phase. While specialized sustainability and impact partners are integrated across the investment process, their peers may learn from them since they have successfully done so. The disparity among stakeholders illustrates that private equity sustainability is still a work in progress, driven by the varied stakeholders' specific interests and aspirations. / Konceptet Enviromental, Social and Governance (ESG) har blivit en fråga av växande betydelse och relevans, med hållbarhets-relaterade investeringar som skjutit i höjden under det senaste decenniet. I Sverige utgör private equity en stor del av kapitalmarknaderna. Detta gör private equity till en spännande fallstudie av utvecklingen av ESG i investeringsprocesser. Detta examensarbete analyserar hur olika nordiska private equity-bolag arbetar med ESG inom investeringsprocessen. De grundläggande orsakerna till ESG:s uppgång och den snabba utvecklingen inom den här typen av investeringar hittades via en kvalitativ studie baserad på semistrukturerade intervjuer med åtta private equity-bolag och sju med traditionella- och investeringsbanker. Enligt resultaten drivs det nuvarande incitamentet av mer betydande kunskap om ESGrelateraderisker och möjligheter, vilket förändrar personliga övertygelser och lagstiftande förväntningar. Med tanke på sektorns möjlighet att påverka förändringar inom sina företag via styrning-, operationella-, finansiella- och ESG-metoder, fann de intervjuade en gemensam syn till sitt förtroende att ESG kommer ha ett betydande långsiktigt inflytande på private equity-industrin. Även om private equity-branschen är medveten om hållbarhet, har intressenterna ännu inte kommit överens om definitioner och de mest effektiva sätten att införliva det i investeringsverksamheten. ESG utvärderas praktiskt taget helt för typiska private equity-företag under förinvesteringsprocessen, ofta känd som screeningsfasen. Även om specialiserade hållbarhets- och påverkanspartners är integrerade i investerings-processen, kan deras konkurrenter lära av dem, eftersom de har lyckats med det. Skillnaden mellan intressenter illustrerar att hållbarhet inom private equity fortfarande är ett pågående arbete, driven av de olika intressenternas specifika intressen och ambitioner.