The impact of ESG during COVID-19- A quantitative study targeting ESG and stock returns on the Swedish stock market during COVID-19 Adem
In this thesis, we study whether ESG has a positive effect on stock performance during COVID- 19, based on a sample of 153 listed firms in the Swedish stock market. We follow a Best-in- Class ESG screening strategy and compare the performance differences between the top and bottom ESG portfolios during 2019-2020. We do not find any statistically significant difference in raw returns and risk-adjusted returns between the top and bottom portfolios in the crash window. However, we find a significant negative difference in raw returns between the top and bottom portfolios in the pre-crash and recovery period. Moreover, we shed light on the impact of ESG and its pillars in explaining industry returns, by adding an ESG factor to the Fama- French three-factor model. We find that ESG impact tends to vary between sub-periods and across industries. Additionally, the Environmental and Governance pillars can be seen as the two primary pillars to affect the industry returns but in opposite directions.
MSc in Finance
Social and Governance (ESG)
Socially Responsible Investments (SRI)
Master Degree Project