An empirical analysis of quantitative investment strategies based on governance factors
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/156867 |
Resumo: | 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. |
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An empirical analysis of quantitative investment strategies based on governance factorsFactor investingPortfolio managementEsg investingQuantitative investingGovernance factorsDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis 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.Hirschey, NicholasRUNTornieporth, Felix2023-08-25T15:22:14Z2022-01-112021-12-172022-01-11T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/156867TID:202997499enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:39:11Zoai:run.unl.pt:10362/156867Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:56:29.337671Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
An empirical analysis of quantitative investment strategies based on governance factors |
title |
An empirical analysis of quantitative investment strategies based on governance factors |
spellingShingle |
An empirical analysis of quantitative investment strategies based on governance factors Tornieporth, Felix Factor investing Portfolio management Esg investing Quantitative investing Governance factors Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
An empirical analysis of quantitative investment strategies based on governance factors |
title_full |
An empirical analysis of quantitative investment strategies based on governance factors |
title_fullStr |
An empirical analysis of quantitative investment strategies based on governance factors |
title_full_unstemmed |
An empirical analysis of quantitative investment strategies based on governance factors |
title_sort |
An empirical analysis of quantitative investment strategies based on governance factors |
author |
Tornieporth, Felix |
author_facet |
Tornieporth, Felix |
author_role |
author |
dc.contributor.none.fl_str_mv |
Hirschey, Nicholas RUN |
dc.contributor.author.fl_str_mv |
Tornieporth, Felix |
dc.subject.por.fl_str_mv |
Factor investing Portfolio management Esg investing Quantitative investing Governance factors Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Factor investing Portfolio management Esg investing Quantitative investing Governance factors Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
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. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-12-17 2022-01-11 2022-01-11T00:00:00Z 2023-08-25T15:22:14Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/156867 TID:202997499 |
url |
http://hdl.handle.net/10362/156867 |
identifier_str_mv |
TID:202997499 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799138149879775232 |