Engineering ESG to manage risk: do ESG traits materialize mostly during downside events?

Detalhes bibliográficos
Autor(a) principal: Azevedo, Madalena Amado Gomes de
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/10362/140678
Resumo: The paper provides a deep investigation on the reason surrounding the implementation of ESG as a risk-hedging tool within portfolio construction. Through the application of statistical regressions and tests, the analysis on kurtosis, skewness, and standard deviation will allow extending on ESG investing. Conclusions will focus on why the tool is well suited not only for risk-averse investors but also to prudential individuals that search to minimize negative results in times of extreme/tail events. Further, the topic will address the findings related to lower volatility and the diminishing gap between ex-post results and ex-ante predictions for ESG oriented portfolios.
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spelling Engineering ESG to manage risk: do ESG traits materialize mostly during downside events?FinanceCorporate social responsibilityEsgFactor investingMutual fundsEsg fundsCovid-19 pandemicPortfolio constructionTail eventsDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe paper provides a deep investigation on the reason surrounding the implementation of ESG as a risk-hedging tool within portfolio construction. Through the application of statistical regressions and tests, the analysis on kurtosis, skewness, and standard deviation will allow extending on ESG investing. Conclusions will focus on why the tool is well suited not only for risk-averse investors but also to prudential individuals that search to minimize negative results in times of extreme/tail events. Further, the topic will address the findings related to lower volatility and the diminishing gap between ex-post results and ex-ante predictions for ESG oriented portfolios.Prado, MelissaRUNAzevedo, Madalena Amado Gomes de2022-01-262021-12-172024-12-17T00:00:00Z2022-01-26T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/140678TID:202973018enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:17:54Zoai:run.unl.pt:10362/140678Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:49:46.290382Repositório 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 Engineering ESG to manage risk: do ESG traits materialize mostly during downside events?
title Engineering ESG to manage risk: do ESG traits materialize mostly during downside events?
spellingShingle Engineering ESG to manage risk: do ESG traits materialize mostly during downside events?
Azevedo, Madalena Amado Gomes de
Finance
Corporate social responsibility
Esg
Factor investing
Mutual funds
Esg funds
Covid-19 pandemic
Portfolio construction
Tail events
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Engineering ESG to manage risk: do ESG traits materialize mostly during downside events?
title_full Engineering ESG to manage risk: do ESG traits materialize mostly during downside events?
title_fullStr Engineering ESG to manage risk: do ESG traits materialize mostly during downside events?
title_full_unstemmed Engineering ESG to manage risk: do ESG traits materialize mostly during downside events?
title_sort Engineering ESG to manage risk: do ESG traits materialize mostly during downside events?
author Azevedo, Madalena Amado Gomes de
author_facet Azevedo, Madalena Amado Gomes de
author_role author
dc.contributor.none.fl_str_mv Prado, Melissa
RUN
dc.contributor.author.fl_str_mv Azevedo, Madalena Amado Gomes de
dc.subject.por.fl_str_mv Finance
Corporate social responsibility
Esg
Factor investing
Mutual funds
Esg funds
Covid-19 pandemic
Portfolio construction
Tail events
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Finance
Corporate social responsibility
Esg
Factor investing
Mutual funds
Esg funds
Covid-19 pandemic
Portfolio construction
Tail events
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The paper provides a deep investigation on the reason surrounding the implementation of ESG as a risk-hedging tool within portfolio construction. Through the application of statistical regressions and tests, the analysis on kurtosis, skewness, and standard deviation will allow extending on ESG investing. Conclusions will focus on why the tool is well suited not only for risk-averse investors but also to prudential individuals that search to minimize negative results in times of extreme/tail events. Further, the topic will address the findings related to lower volatility and the diminishing gap between ex-post results and ex-ante predictions for ESG oriented portfolios.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-01-26
2022-01-26T00:00:00Z
2024-12-17T00:00:00Z
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/10362/140678
TID:202973018
url http://hdl.handle.net/10362/140678
identifier_str_mv TID:202973018
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str 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
repository.mail.fl_str_mv
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