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Exploring abnormal returns of e s g investments during the covid-19 crisis and the Russia - Ukraine war
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This Work Project examines the performance of ESG investments during the Covid-19 crisis and
the Russia-Ukraine conflict. To evaluate their performance during these two periods, the work
project considers three distinct portfolios constructed in line with the sustainability literature,
drawing from companies listed in the Russell 3000 Index. The study spans from February 2016
to February 2024. While certain types of ESG investments yield abnormal returns throughout the
entire duration, their significance diminishes when specifically scrutinizing the crisis periods,
failing to reach statistical significance. To ensure robustness of the results, the work includes a
multicollinearity test of the factors implied.
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Jensen´s alpha Info sharpe ratio Russell 3000 Ols Capm Ff3fm Ff5fm Value inflation factor Long best in class Long short Long worst in class