Hallquist, Lukas, 2018. The financial risk and performance of Swedish SRI funds. Second cycle, A2E. Uppsala: SLU, Dept. of Economics
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Abstract
This study addresses the existing issue of SRI fund categorization in previous research by establishing a framework of how to classify SRI funds. Through this framework, the SRI fund performance analysis becomes more accurate by evaluating the effects of different SRI strategies. In contrast to previous research, this study finds that SRI funds behave differently from conventional funds in terms of risk and return. The evidence suggests SRI funds that excludes sin industries from their investment portfolios have higher risk-adjusted returns than conventional funds.
| Main title: | The financial risk and performance of Swedish SRI funds |
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| Authors: | Hallquist, Lukas |
| Supervisor: | Lagerkvist, Carl-Johan |
| Examiner: | Hart, Robert |
| Series: | Examensarbete / SLU, Institutionen för ekonomi |
| Volume/Sequential designation: | 1158 |
| Year of Publication: | 2018 |
| Level and depth descriptor: | Second cycle, A2E |
| Student's programme affiliation: | NM002 Agricultural Economics and Management - Master's Programme 120 HEC |
| Supervising department: | (NL, NJ) > Dept. of Economics |
| Keywords: | SRI, mutual funds, value-at-risk, VaR |
| URN:NBN: | urn:nbn:se:slu:epsilon-s-9632 |
| Permanent URL: | http://urn.kb.se/resolve?urn=urn:nbn:se:slu:epsilon-s-9632 |
| Subject. Use of subject categories until 2023-04-30.: | Economics and management |
| Language: | English |
| Deposited On: | 16 Jul 2018 13:26 |
| Metadata Last Modified: | 25 Feb 2019 13:23 |
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