Investing Responsibly - Benefits for the Ethical Investor

Abstract: This thesis discusses whether Corporate Social Responsibility (CSR) can affect a company’s, and consequently a portfolio’s, stock market performance. The study presupposes the regular assumptions drawn from CAPM. By creating three different portfolios, consisting of companies with similar financial characteristics, but with different levels of CSR-involvement, we investigate how the CSR-factor may affect stock market performance. The data used in this study is based on a monthly basis over the last ten years. We perform statistical tests and calculate common risk measures for the portfolios, e.g. Sharpe ratio and Treynor’s index. The results show that it can, in fact, be profitable for an investor to consider CSR-factors when making investment decisions.