ESG Performance and Firm Market Risk: Evidence from the Nordic market

Sammanfattning: The thesis investigates the relationship between CSR performance and firm market risk in the Nordics for a data set of 1,561 firm-year observations over the period of January 2004 to December 2019. A linear multivariate OLS regression model was estimated, with methodological challenges and data limitations common to similar studies about ESG performance and firm market risk. The relationship between ESG performance and firm risk is not confidently supported in the data for the full sample of firms in the period of 2004-2019. There are, however, insignificant, weak risk-reducing effects for ESG performance with stronger effects for the systematic risk measure. When limiting the time-period to data between 2010-2019, there is a significant risk-reducing impact from ESG performance for the total and idiosyncratic risk measures. The discrepancy between the periods may be due to different characteristics of the ESG performance - firm market risk relationship over time, due to improved reporting and measurement of ESG, or derive from random differences between the periods. The findings are in line with previous research that suggests a risk-reducing impact of ESG performance on firm market risk. Further research is needed to explore the relationship between ESG factor dimensions and firm market risk.