Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10362/155949| Título: | An analysis of ESG ratings and popularity regarding portfolio performance |
| Autor: | Kreimer, Felix |
| Orientador: | D’arienzo, Daniele |
| Palavras-chave: | Sustainable finance Esg Stock popularity Esg risk Left-tail risk |
| Data de Defesa: | 12-Jan-2023 |
| Resumo: | The research aimed to find out whether investors can improve performance by considering ESG score and stock popularity. The analysis was based on 2324 stocks in the Russell 3000. Fama & French three-factor-models and ANOVA tests were used to analyze ESG and popularity portfolios. The results show, among other findings, that there is no return out- or underperformance with ESG stocks. However, positive ESG and less popular stocks show decreased downside risk. It can be concluded that investing in less popular and ESG stocks has a positive effect on the risk profile of investors when taking positive ESG and less popular stocks into consideration. |
| URI: | http://hdl.handle.net/10362/155949 |
| Designação: | 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 |
| Aparece nas colecções: | NSBE: Nova SBE - MA Dissertations |
Ficheiros deste registo:
| Ficheiro | Descrição | Tamanho | Formato | |
|---|---|---|---|---|
| 2022_23_Fall_48311_Felix_Kreimer.pdf | 504,89 kB | Adobe PDF | Ver/Abrir |
Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.
