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Socially responsible investing: does the environmental pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe

2022-01-11Dissertação de mestrado Acesso aberto
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datacite.subject.fosCiências Sociais::Economia e Gestãopt_PT
dc.contributor.advisorHirschey, Nicholas H.
dc.contributor.authorBauer, Dominik Christopher
dc.date.accessioned2022-06-22T10:31:00Z
dc.date.available2022-06-22T10:31:00Z
dc.date.issued2022-01-11
dc.date.submitted2021-12-17
dc.description.abstractIn this paper, the influence of the environmental pillar of companies’ ESG scoring on investors’ portfolio returns is analyzed. Based on these individual scores, best-in-class and worst-in-class portfolios are formed of companies for a broad European market index. In a naïve performance analysis, portfolios consisting of the low-rated companies show higher annual returns than the market, whereas high-scoring companies underperform the market. However, when tested in a Fama-French-Carhart four-factor model, evidence is found for positive risk-adjusted excess returns for zero-investment long-short (High-Low) portfolios for the overall environment score and the resource use sub-theme.pt_PT
dc.identifier.tid202973220pt_PT
dc.identifier.urihttp://hdl.handle.net/10362/140480
dc.language.isoengpt_PT
dc.relationNova School of Business and Economics
dc.subjectPortfolio managementpt_PT
dc.subjectEsg investingpt_PT
dc.subjectSocially responsible investingpt_PT
dc.subjectQuantitative investingpt_PT
dc.subjectEnvironmental investingpt_PT
dc.titleSocially responsible investing: does the environmental pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europept_PT
dc.typemaster thesis
dspace.entity.typePublication
oaire.awardNumberUID/ECO/00124/2013
oaire.awardTitleNova School of Business and Economics
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UID%2FECO%2F00124%2F2013/PT
oaire.fundingStream6817 - DCRRNI ID
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsopenAccesspt_PT
rcaap.typemasterThesispt_PT
relation.isProjectOfPublication644a3f4f-817b-4d0d-aba6-f98cdca28bc7
relation.isProjectOfPublication.latestForDiscovery644a3f4f-817b-4d0d-aba6-f98cdca28bc7
thesis.degree.nameA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economicspt_PT

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NSBE - MA Dissertations