Publicação
Integrating ESG in factor-based investing in the sovereign bond markets: a value approach
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Hirschey, Nicholas H. | |
| dc.contributor.author | Ribeiro, Carlota Martins Pintado Alves | |
| dc.date.accessioned | 2022-08-16T11:06:04Z | |
| dc.date.available | 2022-08-16T11:06:04Z | |
| dc.date.issued | 2022-01-10 | |
| dc.date.submitted | 2021-12-17 | |
| dc.description.abstract | The group report analyses the joint impact of Momentum, Value, Size, and Low Volatility in factor-based investing in sovereign bond emerging and developed markets, develops an ESG factor and assesses its effect across all strategies. This paper focuses on a Value based strategy implemented with OAS and finds that controlling for credit risk is essential to capture positive returns exclusive of OAS. Results show that ESG captures bonds risk premium and allows to better control for risk, presenting a new approach to sovereign bonds market and complementing the already existing literature that shows the impact of ESG on corporate credit spreads. | pt_PT |
| dc.identifier.tid | 203039645 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/143030 | |
| dc.language.iso | eng | pt_PT |
| dc.relation | Nova School of Business and Economics | |
| dc.subject | Finance | pt_PT |
| dc.subject | Financial markets | pt_PT |
| dc.subject | Financial or data analysis | pt_PT |
| dc.subject | Esg | pt_PT |
| dc.subject | Sovereign bonds | pt_PT |
| dc.subject | Factor-based investing | pt_PT |
| dc.title | Integrating ESG in factor-based investing in the sovereign bond markets: a value approach | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| oaire.awardNumber | UID/ECO/00124/2013 | |
| oaire.awardTitle | Nova School of Business and Economics | |
| oaire.awardURI | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UID%2FECO%2F00124%2F2013/PT | |
| oaire.fundingStream | 6817 - DCRRNI ID | |
| project.funder.identifier | http://doi.org/10.13039/501100001871 | |
| project.funder.name | Fundação para a Ciência e a Tecnologia | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| relation.isProjectOfPublication | 644a3f4f-817b-4d0d-aba6-f98cdca28bc7 | |
| relation.isProjectOfPublication.latestForDiscovery | 644a3f4f-817b-4d0d-aba6-f98cdca28bc7 | |
| 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 |