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An analysis of ESG ratings and popularity regarding portfolio performance
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| 504.89 KB | Adobe PDF |
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Resumo(s)
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.
Descrição
Palavras-chave
Sustainable finance Esg Stock popularity Esg risk Left-tail risk