Publicação
Empirical evidence of the relation between ESG performance and financial returns
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Anjos, Fernando | |
| dc.contributor.author | Alcoforado, José Frederico de Paiva | |
| dc.date.accessioned | 2018-04-27T11:30:48Z | |
| dc.date.available | 2021-01-20T01:30:26Z | |
| dc.date.issued | 2018-01-20 | |
| dc.description.abstract | Investor’sinterestinEnvironmental,SocialandGovernance(ESG)factorshasbeenincreasinginrecentyears.However,ifatfirstmanyinvestorsandcompaniesseektobealignedwithsuchprinciplesonlytoshowtheywere,nowadaysmoreandmoreseethepotentialfinancialbenefitsoftakingESGcriteriaintoconsideration.Theideathatcompanies’effortstobecomemoresustainablereducethefutureprospectsofgrowthisbasedonmainlyunjustifiedassumptions. Inthissense,theaimofthepresentresearchistoenlighteninvestorsaboutthefinancialgainsthatmayarisefromincludingESGcriteriaintheinvestmentdecisionprocess. Sincethisisasignificantlynewtopicamongfinancialstudies,anintroductiontotheassetclassisofforemostimportance.Then,basedonformerliteraturereviewanddrivenbyhistoricalperformanceanalysisandportfolioevidence,empiricalresultswerecomputed. BasedonMSCIdata,andmakingaseparationbetweenEmergingandDevelopedcountries,portfoliosofstocksthatperformgood(best-in-class)andbad(worst-in-class)intermsofESGwerebuiltandanalyzedagainstboththeirrespectivebenchmarksandtheFama-French(FF)threefactormodel.TheaforementionedportfoliosofstocksthathavehighandlowESGratingswerequarterlyrebalancedsothateachquarterthecompaniesintegratingtheportfoliosarethebestESGperformers. Thebest-in-classportfoliosyieldedanannualizedreturn(from2007to2017)of11.7%forEMand5.4%forDM,outperformingthebenchmarksthatreturned2.6%and1.9%respectively.Throughouttheanalysis,theresultsforEMwerealwaysmoresignificant. RegardingtheregressionsagainsttheFFthreefactormodel,andwiththegoaloffindingabnormalreturns,thebest-in-classportfoliosgeneratedapositivealpha(significantforEM)whilefortheworst-in-classthisvariablewasnegative(asonewasexpecting).Also,iswasconsideredtobeimportanttoincludetheMomentumfactorinordertoseeiftherewasapartoftheportfolios’returnsthatcouldbeexplainedbythisextrafactor.TheresultsachievedwereambiguousandmoreusefulforDevelopedMarketsportfolios. Finally,andasasupplementanalysis,anlong/shortstrategythatbuysthebestESGperformersandsellstheworstESGperformerswasanalyzed.Ityieldedpositivesignificantabnormalreturns. | pt_PT |
| dc.identifier.tid | 201861852 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/35448 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Financial markets | pt_PT |
| dc.subject | ESG | pt_PT |
| dc.subject | Abnormal returns | pt_PT |
| dc.subject | Emerging markets | pt_PT |
| dc.title | Empirical evidence of the relation between ESG performance and financial returns | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |