Sustainability has increasingly gained attention and importance for both companies andinvestors. This attention and importance will continue to grow. One way that companiesare measured for their sustainability is by the three pillars ethical, social and governance(ESG-scores) given by private rating agencies. A higher score means that the companiesare more sustainable, therefore, these measures are a good and simple way for privateinvestors to make responsible investment-decisions. Many investors are not onlysustainable, but most are also risk averse. Previous studies find that, ESG-scores seem tohave a negative relation to risk. According to theories such as Efficient Market Hypothesis(EMH) suggesting that these ESG-scores then should have the same relationship betweenall industries. On the other hand, the theory Herd Behavior could explain why there wouldbe a difference. Therefore, this study aims to investigate whether there exist anydifferences on this relationship over industries when looking at companies withheadquarters in Sweden. This study includes 58 companies and contains data over a five-year period that provides290 firm observations during the period of 2015-01-01 to 2019-12-31. The data wascollected mainly from Eikon Refinitiv, and some stock-prices that is not available throughEikon was obtained via Nasdaq. The risk measures used is beta (BETA) and volatility(VOL). A multiple regression analysis was applied to test the relationship between theESG-scores and risk and a comparison between the different industries in Sweden. The results display no significant result when investigating the relationship between thetwo risk measures BETA and VOL looking at the inclusion of all industries. When insteadtesting industries separately, the risk measure VOL did show significant results for two ofthe industries; “financials” and “industrials”. The results were a significant positiverelationship between VOL and ESG-score, which is the reverse compared to previousstudies. This result indicates that there is a relationship between risk measured by VOLand ESG-scores, but it does not add up to previous studies findings. On the one hand, noother significant results were obtained and therefore further conclusions with empiricalevidence could not be drawn. On the other hand, results indicate a difference betweenindustries in Sweden. Further research is suggested in order to investigate the possibledifferences in Sweden and the Nordic region. This study contributed new information andindications regarding the area of risk and ESG-scores for listed companies withheadquarters in Sweden. For the private investor this study has provided knowledge aboutthe risk of previous studies results not being appliable in Sweden, as well as the possibleindustry differences when looking at ESG-scores association with volatility and beta.Furthermore, the theory EMH was shown to most likely not hold, whereas herdingbehaviour instead could be the possible explanation.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:umu-226700 |
| Date | January 2024 |
| Creators | Jonsson, Cornelia, Westerbergh, Julia |
| Publisher | Umeå universitet, Företagsekonomi |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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