Risken i hållbara investeringar : En kvantitativ studie om sambandet mellan ESG och risk

Sammanfattning: Sustainable investments are here to stay and the more capital that is invested, the greater interest is aroused in understanding why. One term that has received increasing attention with this development is ESG, which stands for environmental, social and governance. Several studies have previously examined ESG linked to financial return and performance. This study differs from previous ones and instead it examines the relationship between Sustainalytics' ESG Risk Rating, and three key figures linked to a company's risk for three different sectors. These key figures are beta, unlevered beta, and P/E-ratios. By looking at the three individual sectors, the automotive industry, the clothing industry and software & services, the differences between these are examined. The relationship will be investigated through regression models and look at how the variables correlate with each other. In conclusion, only clear correlations between ESG Risk Rating and beta as well as P/E ratios for software & services were discovered, while for the automotive industry and the clothing industry, the results were insignificant. When all sectors were included in the same model with control variables, the result showed a positively significant relationship between the ESG Risk Rating and the beta value. This shows that a higher focus on issues related to ESG within companies leads to reduced market risk.