The price of sustainability on the Swedish market - A study of ESG restrictions on value weighted portfolios

Abstract

In this paper, we evaluate value weighted portfolios with ESG constraints on the Swedish stock market from 2009 to 2013. Most studies within this area have not been able to show significant difference in performance between ethical and conventional portfolios. Observing the four restricted portfolios we created in this study we cannot prove a significant difference when comparing their risk adjusted return. However, we are able to show that market capitalization and sector classification does have an impact on ESG ratings. Our results imply that investing according to ESG principles may not have an impact on risk adjusted return.