ESG-markandens palats eller luftslott? : En kvantitativ studie om ESG och dess påverkan på aktieavkastning

Sammanfattning: In recent years, the world's leaders have placed an increasing focus on sustainability, this has resulted in an increased interest in sustainable investments. In this thesis, we have studied the relationship between companies' ESG ratings and their returns, as well as comparing whether ESG ́s three pillars Environmental, Social and Governance have different relationships to companies' returns. The focus on sustainability has greatly increased in society, which should result in an increased interest in ESG ratings. At the same time, the studies previously carried out in the area have generated fragmented results, where the results are positive, negative and no connection. The various studies have focused on different markets from different continents during various time periods. This study has chosen to collect daily data from the S&P 500 over a period of time spanning from 2010 to 2022. A quantitative study has been conducted where the relationship and possible causality between ESG and returns have been studied. This has been done through the use of an Ordinary least Squares (OLS) where the regression model is based on an in-house development of Fama and French´s five-factor model.   The results of the study show that there is indeed a small positive causal relationship between the ESG score a company receives and their return. Admittedly, there is a positive correlation, but it is small enough to be seen as negligible. When it comes to breaking down the different pieces that make up ESG, the result is different. Here the results certainly still show negligibly small correlations, but at the same time only G indicates that this correlation is positive. For the individual variables E and S, we instead see a negative relationship between investments in the areas and the companies’ returns. These results both confirm and contradict previous research as the result confirms certain previous results when it comes to the influence of the individual variables while at the same time showing that the complexity is greater than what some results previously indicated.