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Publicação
Sustainable investing in emerging markets- carbon risk in Brazil
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| 1.68 MB | Adobe PDF |
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Orientador(es)
Resumo(s)
As demand for sustainable investments continues to grow, asset managers are increasingly
looking for ways to incorporate environmental, social and governance (ESG) factors into their
investment strategies. However, sustainable investing in emerging markets has yet to reach its
full potential. A lack of available ESG data and inconsistencies among ratings present
significant challenges. With the aim of bridging the gap, this paper explores a capital market based approach to integrate ESG aspects into portfolio management on the example of Brazil
and Africa. Estimating different ESG factor betas of the stocks enables the construction of
portfolios with high exposure to good ESG practices. The analysis shows that the performance
of portfolios varies with the ESG factors as well as the geographic regions. None of the African
portfolios with high exposure to an assessed factor outperformed the benchmark. In Brazil, the
portfolio with a high exposure to factor G (governance) and ESG (MSCI ESG rating) presented
a better risk-adjusted performance than the benchmark.
Descrição
Palavras-chave
Esg investing Carbon risk Portfolio construction Emerging markets Economic transition Brasil Climate finance Sustainable investing.