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The Investment Performance of Green versus Non-Green Stocks: A Cross-Sectional Analysis

Twomey, Fergal (2017) The Investment Performance of Green versus Non-Green Stocks: A Cross-Sectional Analysis. Masters thesis, Dublin, National College of Ireland.

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The purpose of the research was to compare the investment performance of green and non-green stocks across four investment styles. Recent literature suggests a lack of consensus among researchers in respect of the performance of green investing, Environmental, Social and Governance (ESG) issues, or Socially Responsible Investing (SRI) relative to more traditional forms of investing. Previous research has focused predominantly on the performance of funds thereby taking into account the skills of fund managers in selecting stocks. Additionally, the existing literature’s focus has been on SRI relative to traditional investing or green relative to SRI investing. This research therefore contributes to closing a gap in the literature by investigating the performance of green stocks versus non-green stocks in the market.

Monthly investment returns of green portfolios for four investment styles were compared to their non-green equivalent, over four different time periods. Time weighted returns and Sharpe ratios, to measure risk-adjusted returns, were also computed for further analysis.

The research indicated that there was no significant difference between the monthly returns of green portfolios versus non-green portfolios in the four investments styles over all periods investigated. Time weighted returns showed that green portfolios outperformed non-green portfolios in 14 of the 16 style/periods investigated. The Sharpe ratios showed risk-adjusted returns were consistent with the findings of the time-weighted returns. However, the non-green value/mid-cap portfolio was the only portfolio to have positive returns and Sharpe ratio for the 2008-2009 crisis period.

The importance of the research is to discover performance trends of green and non-green stocks within different investment styles, irrespective of fund manager skill, which may be informative and helpful for investors when choosing which stocks to invest in.

Item Type: Thesis (Masters)
Subjects: H Social Sciences > HG Finance > Investment
H Social Sciences > HG Finance > Investment > Investment Companies. Investment Trusts. Mutual Funds.
Divisions: School of Business > Master of Business Administration
Depositing User: Caoimhe Ní Mhaicín
Date Deposited: 21 Nov 2017 09:54
Last Modified: 21 Nov 2017 09:54

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