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Etiska Index: Vad är priset på ett gott samvete?
Södertörn University, School of Social Sciences, Business Studies.
Södertörn University, School of Social Sciences, Business Studies.
2016 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Ethical Index : What is the price of a good conscience? (English)
Abstract [en]

Aim:The purpose of this study is to investigate whether an investor will have to s acrifice their expectations of return by investing in a responsible way.

Theory: The thesis is based on the efficient market hypothesis through the modern portfolio theory to make it possible to test whether the investor will have to sacrifice return after taking into account of the risk. To measure the risk-adjusted return we used Sharpe ratio, the Modigliani-Modigliani (M2), Jensen's alpha, which later on is the basis for the study's results and conclusion.

Method: The study is a quantitative survey with a deductive approach where the selected theories determined what data is collected. Based on these theories we construct a hypothesis that this study later intended to test. Data was collected from Bloomberg.

Conclusion: The study shows that several ethical indexes have a higher return while at the same time showing a higher risk-adjusted return. This higher risk-adjusted return is not statistically significant except for a few of the measured markets. The study also shows that the ethical indexes generally have a lower 𝛽, which can be interpreted as a lower systematic risk. Meanwhile the tracking error / active risk is higher and the screened indexes therefore should not be compared with say, index funds. When taken into account the longer period active risk levels match actively managed funds. As in previous studies, this study did not show any significant difference in risk-adjusted returns but a higher risk.

Place, publisher, year, edition, pages
2016. , 47 p.
Keyword [sv]
Effektiva marknads hypotesen, Modern portföljteori, etiska placeringar, Sharpekvot, Jensens alpha, Modigliani-Modigliani (M2), Beta, Tracking Error/Aktiv risk, riskjusterad avkastning, excess return, Standardavvikelse, t-test, SRI, ESG, CSR, negativ screening, positiv screening.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:sh:diva-31904OAI: oai:DiVA.org:sh-31904DiVA: diva2:1069816
Subject / course
Business Studies
Presentation
2017-01-13, 14:47 (Swedish)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2017-01-31 Created: 2017-01-31Bibliographically approved

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fulltext(1036 kB)39 downloads
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File name FULLTEXT01.pdfFile size 1036 kBChecksum SHA-512
1ef233d86bfbb832c31d0334d7c1f57fb4dc3c4eb6b323a9379d76e9b19da45b9012db532603ffdd8b7e0451b4899e42e5d0c14233586031a1ad01e5b6f7253d
Type fulltextMimetype application/pdf

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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  • asciidoc
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