The Impact of ESG Performance on Stock Returns: Nordic Countries
| dc.contributor.author | Lama Gole, Rabin | |
| dc.contributor.faculty | fi=Laskentatoimen ja rahoituksen yksikkö|en=School of Accounting and Finance| | |
| dc.contributor.organization | fi=Vaasan yliopisto|en=University of Vaasa| | |
| dc.date.accessioned | 2026-03-05T11:00:36Z | |
| dc.date.issued | 2026-01-19 | |
| dc.description.abstract | This thesis investigates the relationship between Environmental, Social, and Governance (ESG) performance and risk-adjusted stock returns in Nordic equity markets from 2015 to 2024. Drawing on firm-level ESG scores from LSEG Workspace and market data for publicly listed non-financial firms in Denmark, Finland, Norway, and Sweden, the study constructs ESG-based portfolios and evaluates their performance using the Capital Asset Pricing Model (CAPM), the Fama-French three-factor model, and the Fama-French five-factor model. To assess whether market stress alters the ESG-return relationship, the analysis distinguishes between non-crisis periods and two crisis episodes: the COVID-19 pandemic (2020-2021) and the European energy crisis (2022-2023). The results show that high ESG portfolios do not generate superior risk-adjusted returns relative to low ESG portfolios, and the High-Low ESG strategy produces a negative alpha across the main specifications. Pillar-level analysis reveals heterogeneous effects, with the social pillar exhibiting the strongest negative association with risk-adjusted returns, a weaker negative effect for the environmental pillar, and no statistically significant effect for governance. Overall, the findings suggest that in advanced sustainability-oriented markets, ESG performance is largely priced by investors and does not generate a positive return premium. | |
| dc.description.notification | fi=Opinnäytetyö kokotekstinä PDF-muodossa.|en=Thesis fulltext in PDF format.|sv=Lärdomsprov tillgängligt som fulltext i PDF-format| | |
| dc.format.extent | 67 | |
| dc.identifier.uri | https://osuva.uwasa.fi/handle/11111/19905 | |
| dc.identifier.urn | URN:NBN:fi-fe202601195035 | |
| dc.language.iso | eng | |
| dc.rights | CC BY 4.0 | |
| dc.subject.degreeprogramme | Master's Degree Programme in Finance | |
| dc.subject.discipline | fi=Laskentatoimi ja rahoitus|en=Accounting and Finance| | |
| dc.title | The Impact of ESG Performance on Stock Returns: Nordic Countries | |
| dc.type.ontasot | fi=Pro gradu -tutkielma|en=Master's thesis|sv=Pro gradu -avhandling| |
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- This thesis investigates the relationship between Environmental, Social, and Governance (ESG) performance and risk-adjusted stock returns in Nordic equity markets from 2015 to 2024. Drawing on firm-level ESG scores from LSEG Workspace and market data for publicly listed non-financial firms in Denmark, Finland, Norway, and Sweden, the study constructs ESG-based portfolios and evaluates their performance using the Capital Asset Pricing Model (CAPM), the Fama-French three-factor model, and the Fama-French five-factor model. To assess whether market stress alters the ESG-return relationship, the analysis distinguishes between non-crisis periods and two crisis episodes: the COVID-19 pandemic (2020-2021) and the European energy crisis (2022-2023). The results show that high ESG portfolios do not generate superior risk-adjusted returns relative to low ESG portfolios, and the High-Low ESG strategy produces a negative alpha across the main specifications. Pillar-level analysis reveals heterogeneous effects, with the social pillar exhibiting the strongest negative association with risk-adjusted returns, a weaker negative effect for the environmental pillar, and no statistically significant effect for governance. Overall, the findings suggest that in advanced sustainability-oriented markets, ESG performance is largely priced by investors and does not generate a positive return premium.