Först och främst föreslår författarna att det i framtiden utförs en liknande studie som denna, dock med en longitudinell design. Denna studie har konstaterat att ett negativt samband mellan ESG-betyg och värdering har förelegat vid årsskiftet 2020/2021. En studie som följer upp detta och studerar sambandet över tid hade kunnat bidra till forskningsfältets kartläggning av detta relativt unga ämne. Dessutom anses en studie över tid på ett bättre sätt kunna analysera eventuell kausalitet, det vill säga om en av variablerna utövar påverkan på den andra och även riktningen av detta samband. Bristen på svenska företag som haft publicerade ESG-betyg i mer än ett par enstaka år, har legat till grund för denna studies val att inte studeras sambandet över tid. Detta problem kommer successivt att minska i framtiden, då fler och fler bolag börjar betygsättas och tidsseriedata hinner byggas upp. Potentiella förklaringar till det negativa sambandet har analyserats och diskuterats. Ett av dessa förslag till förklaringar var att investerares definition av hållbarhet inte överensstämmer med vad ESG-betyget mäter. Konsekvensen av det scenario är att ESG- betyget inte representerar hållbarhet på ett bra sätt, och vidare även att ett negativt samband mellan betyget och värdering i regressioner, inte nödvändigtvis återspeglar sambandet mellan hållbarhet och värdering i verkligheten. En studie, som genom intervjuer eller enkäter, undersöker i vilken utsträckning såväl privatsparare som institutionella investerare faktiskt använder sig av dessa ESG-betyg för att göra bedömningar, hade kunnat bidra till att förklara hur pass representativa betygen är. Om betygen används i stor utsträckning innebär det också att betygen speglar verklighetens definition av hållbarhet och att erhållna samband ur regressioner är verklighetstrogna. Om det motsatta är fallet, det vill säga att betygen knappt används i praktiken, finns risken att de inte återspeglar hållbarhet på ett bra sätt. Studien hittade även att variabler som tillväxt och risk var negativt korrelerade med ESG- betyget, medan storlek däremot såg ut att vara positivt korrelerat. Korrelationerna som såväl tillväxt som storlek hade med betyget var en av studiens potentiella förklaringar till det negativa sambandet. Scenariot hade att göra med att de mindre bolagen med generellt högre tillväxt men lägre betyg, värderades högre på grund av deras högre tillväxt och att det negativa sambandet mellan ESG och värdering var en bieffekt av detta. Författarna föreslår att detta scenario undersöks djupare genom att i stället för att undersöka sambanden mellan ESG och värdering, undersöks snarare sambanden mellan ESG och variabler som tillväxt, risk, storlek eller lönsamhet. Det hade varit intressant att utreda om ESG har ett direkt samband med värdering, eller om det rör sig om ett indirekt samband där betyget påverkar dessa finansiella variabler, som i sin tur påverkar värderingen. Om det till exempel visar sig vara så att ju större ett bolag är, desto bättre ESG-betyg erhåller de, skulle det kunna innebära att det inte är rättvist att jämföra mindre bolag mot större bolag, vad gäller hållbarhetsarbete.
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9 Appendix
Appendix 1 – Korrelationsmatriser
Pearson r - Korrelationsmatris (Hela urvalet)
P/E-regression
ESG ROE Tillväxt Risk
ESG 1 0,021 -0,035 -0,276**
ROE 1 -0,031 0,047
Tillväxt 1 0,258*
Risk 1
P/BV-regression
ESG ROE Tillväxt Risk
ESG 1 0,136 -0,347** -0,348**
ROE 1 -0,416** -0,303**
Tillväxt 1 0,115
Risk 1
EV/EBITDA-regression
ESG ES Tillväxt Risk
ESG 1 0,151 -0,132 -0,334**
ES 1 -0,076 -0,12
Tillväxt 1 0,363
Risk 1
EV/S-regression
ESG RM Tillväxt Risk
ESG 1 -0,108 -0,337** -0,261**
RM 1 -0,164 0,366**
Tillväxt 1 -0,231**
Risk 1
*** 1 procents signifikansnivå Förkortningar: ROE = Return on
Equity, ES = Effektiv skattesats, RM = Rörelsemarginal ** 5 procents signifikansnivå
Pearson r - Korrelationsmatris (Large Cap)
P/E-regression
ESG ROE Tillväxt Risk
ESG 1 -0,107 -0,233* -0,320**
ROE 1 -0,032 0,166
Tillväxt 1 0,378**
Risk 1
P/BV-regression
ESG ROE Tillväxt Risk
ESG 1 -0,085 -0,253* -0,311**
ROE 1 -0,058 0,029
Tillväxt 1 0,424**
Risk 1
EV/EBITDA-regression
ESG ES Tillväxt Risk
ESG 1 0,227* -0,222* -0,312**
ES 1 -0,113 -0,049
Tillväxt 1 0,395**
Risk 1
EV/S-regression
ESG RM Tillväxt Risk
ESG 1 -0,157 -0,227* -0,314**
RM 1 0,018 0,025
Tillväxt 1 0,416**
Risk 1
*** 1 procents signifikansnivå Förkortningar: ROE = Return
on Equity, ES = Effektiv skattesats, RM = Rörelsemarginal ** 5 procents signifikansnivå
Pearson r - Korrelationsmatris (Mid Cap)
P/E-regression
ESG ROE Tillväxt Risk
ESG 1 -0,008 -0,094 0,064
ROE 1 0,218 -0,1
Tillväxt 1 0,246
Risk 1
P/BV-regression
ESG ROE Tillväxt Risk
ESG 1 -0,005 -0,264* -0,018
ROE 1 -0,532** -0,396**
Tillväxt 1 0,005
Risk 1
EV/EBITDA-regression
ESG ES Tillväxt Risk
ESG 1 0,254 -0,377** -0,048
ES 1 -0,129 -0,270*
Tillväxt 1 0,338*
Risk 1
EV/S-regression
ESG RM Tillväxt Risk
ESG 1 -0,291* -0,272* -0,025
RM 1 -0,277* -0,531**
Tillväxt 1 0,007
Risk 1
*** 1 procents signifikansnivå Förkortningar: ROE = Return on
Equity, ES = Effektiv skattesats, RM = Rörelsemarginal ** 5 procents signifikansnivå
Appendix 2 – Branschanalys
VIF-värden & Modellsignifikans
ESG Tillväxt Risk ROE ES RM ANOVA Sig Analyserbar
In d u str ial s P/E 1,878 1,078 2,265 1,324 0,053 P/BV 2,057 1,047 2,252 1,209 0,000 Ja EV/EBITDA 1,893 1,045 1,868 1,014 0,021 Ja EV/S 1,546 1,214 4,476 3,853 0,000 B asi c M ate ri al s P/E 1,051 20,728 19,682 3,479 0,063 P/BV 1,346 4,544 3,379 1,645 0,145 EV/EBITDA 1,877 4,761 4,857 1,921 0,455 EV/S 1,342 4,740 4,654 1,470 0,236 H e al th car e P/E 1,245 1,234 1,171 1,171 0,128 P/BV 2,186 4,526 2,323 3,631 0,044 EV/EBITDA 2,274 1,558 1,603 1,597 0,836 EV/S 3,863 4,502 2,427 2,119 0,015 Co n su m e r Cy cl ic a ls P/E 1,016 1,016 1,035 1,036 0,042 Ja P/BV 1,008 1,053 1,020 1,072 0,019 Ja EV/EBITDA 1,019 1,117 1,037 1,132 0,000 Ja EV/S 1,030 1,011 1,150 1,170 0,000 Ja Co n su m e r Non -Cy cl ic a ls P/E 2,812 1,498 3,508 1,228 0,290 P/BV 4,910 1,506 4,223 1,726 0,397 EV/EBITDA 3,614 1,546 3,954 1,327 0,927 EV/S 3,386 1,562 4,084 1,284 0,003 Tec h n o lo gy P/E 1,572 1,625 2,197 1,099 0,582 P/BV 2,695 2,337 1,431 1,107 0,254 EV/EBITDA 8,071 2,761 4,477 5,265 0,071 EV/S 2,714 2,238 1,514 1,115 0,426 R e al E stat e P/E 1,469 1,273 1,156 1,414 0,011 Ja P/BV 1,519 1,209 1,214 1,426 0,022 Ja EV/EBITDA 1,315 1,210 1,106 1,011 0,013 Ja EV/S 1,342 1,228 1,105 1,034 0,020 Ja Fi n an ci al s P/E 1,213 4,714 4,732 1,145 0,092 P/BV 1,213 4,714 4,732 1,145 0,000 EV/EBITDA 1,178 4,987 4,865 1,194 0,015 EV/S 1,240 5,021 5,535 1,437 0,040
*** 1 procents signifikansnivå Förklaringar: ROE = Return on Equity, ES = Effektiv skattesats, RM =
Rörelsemarginal, ANOVA Sig = Modellsignifikansen från ANOVA testet.
** 5 procents signifikansnivå
Betakoefficienter
IN BM HC CC CNC TE RE FI P/E ESG 0,126 -0,590 -0,192 0,157 -0,464 0,980 -0,266 -0,438 Tillväxt 3,698 ** -4,507 3,434 3,312 ** -0,631 3,499 1,220 3,516 Risk 8,158 36,122 1,958 -2,612 5,714 5,764 -6,927 4,055 ROE -1,449 -14,083 ** 7,974 * -1,235 0,754 -2,243 -6,651 ** 0,032 P/BV ESG -0,409 -0,989 1,189 * -0,261 -1,355 1,240 -0,196 -1,125 ** Tillväxt 5,324 ** 2,028 1,867 ** 0,919 -0,493 3,456 1,073 4,678 ** Risk 3,125 -16,327 12,544 ** -3,233 -1,486 6,550 -10,270 ** -8,522 ROE 5,522 *** 4,904 ** 5,413 ** 1,666 ** 7,654 * 1,177 3,939 ** 6,973 *** EV/EBITDA ESG 0,073 -0,960 0,272 0,146 -0,208 -0,231 -0,591 ** 0,237 Tillväxt 5,299 ** 0,249 2,674 4,180 *** -2,884 3,829 * 1,854 4,482 ** Risk -1,221 -13,923 6,256 -5,792 4,732 -0,400 -12,874 ** -21,181 ** Effektiv skattesats -0,232 -0,098 -0,191 -0,217 -0,711 0,196 -0,115 -2,563 * EV/S ESG 0,795 ** -0,914 1,252 -0,012 -1,107 -1,216 -0,300 0,687 Tillväxt 7,267 *** 1,820 2,853 ** 6,434 *** -2,657 0,266 5,130 ** 4,648 ** Risk 17,710 ** -24,641 22,342 -6,103 -0,269 0,793 -17,366 ** -18,770 Rörelsemarginal 5,188 ** 1,572 1,793 0,877 9,116 ** 0,294 0,200 2,584*** 1 procents signifikansnivå Förkortningar för branscher: IN = Industrials, BM = Basic Materials, HC =
Healthcare, CC = Consumer Cyclicals, CNC = Consumer Non-Cyclicals, TE = Technology, RE = Real Estate, FI = Financials
** 5 procents signifikansnivå
Appendix 3 – Studiens urval
Företagsnamn
Lista
TRBC Economic Sector
AAK AB Large Cap Consumer Non-Cyclicals
ABB Large Cap Industrials
ADDTECH B Large Cap Industrials
AF POYRY Large Cap Industrials
ALFA LAVAL Large Cap Industrials
ARJO Large Cap Healthcare
ASSA ABLOY B Large Cap Consumer Cyclicals
ASTRA ZENECA Large Cap Healthcare
ATLAS COPCO B Large Cap Industrials
ATRIUM LJUNGBERG Large Cap Real Estate
AUTOLIV INC SDR Large Cap Consumer Cyclicals
AVANZA HOLDING Large Cap Financials
AXFOOD Large Cap Consumer Non-Cyclicals
BEIJER REF AB Large Cap Industrials
BETSSON B Large Cap Consumer Cyclicals
BILLERUD KORSNAS Large Cap Basic Materials
BOLIDEN AB Large Cap Basic Materials
BRAVIDA HOLDING Large Cap Industrials
CASTELLUM AB Large Cap Real Estate
CATENA AB Large Cap Real Estate
DOMETIC GROUP AB Large Cap Consumer Cyclicals
ELECTROLUX B Large Cap Consumer Cyclicals
ELECTROLUX PRO B Large Cap Consumer Cyclicals
ELEKTA B Large Cap Healthcare
EPIROC B Large Cap Industrials
EQT Large Cap Financials
ERICSSON B Large Cap Technology
ESSITY B Large Cap Consumer Non-Cyclicals
EVOLUTION GAMING Large Cap Consumer Cyclicals
FABEGE Large Cap Real Estate
FASTIGHETS BAL B Large Cap Real Estate
GETINGE AB Large Cap Healthcare
HENNES&MAURITZ B Large Cap Consumer Cyclicals
HEXAGON AB B Large Cap Technology
HEXPOL B Large Cap Basic Materials
HOLMEN B Large Cap Basic Materials
HUFVUDSTADEN A Large Cap Real Estate
HUSQVARNA B Large Cap Consumer Cyclicals
ICA GRUPPEN Large Cap Consumer Non-Cyclicals
INDUTRADE AB Large Cap Industrials
INTRUM Large Cap Financials
JM Large Cap Consumer Cyclicals
KLOVERN B Large Cap Real Estate
KUNGSLEDEN Large Cap Real Estate
LIFCO B Large Cap Financials
LOOMIS Large Cap Industrials
LUNDIN ENERGY Large Cap Energy