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An empirical analysis of quantitative investment strategies based on governance factors
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| 2.09 MB | Adobe PDF |
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Resumo(s)
This work project examines and quantifies the financial impact of corporate governance on the
performance of portfolios in European capital markets. Corporate governance refers to a set of
rules, practices and procedures by which a company is managed and controlled. In this paper,
four different scores, Corporate Governance as an overall score and three sub-themes:
Management, Shareholders and CSR Strategy, are used as investment factors. Various
portfolios are constructed and evaluated based on these factors. The hypothesis that higher
scores in corporate governance lead to higher risk-adjusted returns cannot be proven, neither
for the governance pillar nor its three sub-themes.
Descrição
Palavras-chave
Factor investing Portfolio management Esg investing Quantitative investing Governance factors