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Sustainable investments in the Norwegian stock market

Author

Listed:
  • Sondre R. Fiskerstrand
  • Susanne Fjeldavli
  • Thomas Leirvik
  • Yevheniia Antoniuk
  • Oleg Nenadić

Abstract

This article investigates the link between environmental, social and corporate governance (ESG) ratings and financial performance in the Norwegian stock market. Using Norwegian stock data, we rank companies based on their sensitivity and exposure (beta) toward ESG factors from 2009 to 2018 using the Dow Jones Sustainability Nordic Index. The econometric framework applies a portfolio strategy, as well as a cross-sectional regression. The constructed ESG portfolios do not show any significant return difference based on a high-low strategy, which is robust for market sensitivity, investment style, and industry bias. Regarding the explanatory power and pricing of the ESG factor, we find no supporting evidence. Our results do not suggest any connection between ESG and stock returns in the Norwegian stock market.

Suggested Citation

  • Sondre R. Fiskerstrand & Susanne Fjeldavli & Thomas Leirvik & Yevheniia Antoniuk & Oleg Nenadić, 2020. "Sustainable investments in the Norwegian stock market," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 10(3), pages 294-310, July.
    • Handle: RePEc:taf:jsustf:v:10:y:2020:i:3:p:294-310
    DOI: 10.1080/20430795.2019.1677441
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    Cited by:

    1. Narula, Radhika & Rao, Purnima & Kumar, Satish & Matta, Rahul, 2024. "ESG scores and firm performance- evidence from emerging market," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1170-1184.
    2. Dahlström, Petter & Lööf, Hans & Sahamkhadam, Maziar & Stephan, Andreas, 2023. "Science-based emission targets and risk-adjusted portfolio return: An analysis using global SBTi-validated stocks," Working Paper Series in Economics and Institutions of Innovation 492, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
    3. Cristi Spulbar & Ramona Birau & Jatin Trivedi, 2021. "Investigating Short and Long Run Volatility Movements in the Context of COVID-19 Pandemic: A Case Study for Norwegian Stock Market," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 1166-1171, December.
    4. Yevheniia Antoniuk, 2023. "The effect of climate disclosure on stock market performance: Evidence from Norway," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(2), pages 1008-1026, April.

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