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dc.contributor.advisorØdegaard, Bernt Arne
dc.contributor.authorTytlandsvik, Malin Grace
dc.contributor.authorLundberg, Tina Beate
dc.descriptionMaster's thesis in Applied financeen_US
dc.description.abstractBased on violations of ethical guidelines, a number of companies are excluded from the Norwegian Government Pension Fund Global’s investment universe. There are both sector-based and norm-based reasons for exclusions. Among other things, exclusions can be due to excessive contamination, child labour, and production of nuclear weapons. In this paper, we are constructing a portfolio that captures the returns of the excluded firms. This portfolio will be examined through an empirical analysis. If these exclusions represent a major cost for the oil fund, the return of the portfolio will show superior performance. We predict that the returns of the excluded firms are higher than the comparable portfolios. Excluding these companies therefore may reduce the returns of the oil fund’s portfolio. We will test this prediction by executing several regressions, including the Capital Asset Pricing Model and the Carhart 4-factor model. We implement a number of tests for superior performance of the constructed portfolios and we find a performance effect, although for the equal-weighted portfolio it is not significant. These findings suggests that by investing in unethical companies, it doesn’t seem to have a sufficiently high effect on the financial returns, but we don’t have enough evidence to give a definite conclusion.en_US
dc.publisherUniversity of Stavanger, Norwayen_US
dc.rightsNavngivelse 4.0 Internasjonal*
dc.subjectanvendt finansen_US
dc.titleThe Cost of the Oil Fund's Socially Responsible Investingen_US
dc.typeMaster thesisen_US
dc.subject.nsiVDP::Social science: 200::Economics: 210::Business: 213en_US

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Navngivelse 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Navngivelse 4.0 Internasjonal