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Impact of Covid -19 and the Russo-Ukrainian war on sustainable investments: a performance comparison between esg etfs and the S&P 500 index and the stoxx Europe 600 index
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Resumo(s)
This thesis aims to investigate how 15 American ESG ETFs and 20 European ESG ETFs performed
compared with the respective benchmarks (S&P500 and S&P500 ESG in the first case, STOXX
Europe 600 and STOXX Europe 600 ESG-X in the second case) during the 2019-2023 period,
considering the impact of COVID-19 crisis and Russo-Ukrainian War.
Appealing to risk-adjusted measures and a Fama-French and momentum analysis, the goal is to
evidence if a high ESG score allows to outperform the market even during financial turmoil.
This trend is confirmed for the USA, meanwhile, in Europe the context offered different perspectives
to explore.
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Palavras-chave
Esg Exchange-traded funds Socially responsible investing Covid-19 Russo-Ukrainian war Fama-French model S&P 500 Stoxx Europe 600