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Performance of ESG integration in European equity ETFs: a multifactor model analysis
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| 1.58 MB | Adobe PDF |
Orientador(es)
Resumo(s)
This dissertation examines the financial performance and risk-adjusted returns of ESG
and non-ESG ETFs in European equity markets from February 2016 to September 2024,
using data from Morningstar and Refinitiv LSEG, and STOXX 600 as the benchmark.
ESG ETFs show resilience in volatile markets but underperform during normalization,
offering no consistent financial advantage over non-ESG ETFs. Their performance is
context-dependent, excelling in dynamic conditions but lacking a long-term edge. Case
studies on Santander and Amundi highlight diverse approaches to ESG integration,
underscoring the growing significance of sustainable investing.
Descrição
Palavras-chave
Sustainable investing ESG ETF COVID-19 Banco Santander Amundi Risk adjusted returns