To “sin” or to be ethical? : comparing the performance of FTSE4Good index with sin stocks

Detalhes bibliográficos
Autor(a) principal: Fragateiro, Ana Rita Chorão
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/31883
Resumo: This study focuses on the differences between being a socially responsible investor and a vice investor by investigating the performance of the FTSE4Good index and compare it with the performance of a “sin” portfolio. The dataset includes stocks from the European and American market over the period of 2001-2019. The results reveal that FTSE4Good portfolios outperform when compared with appropriate benchmarks. Additionally, by employing different models, the findings point out to a superior performance in the European “Sin” portfolio. Consistent with previous evidence, the results do not show an underperformance or outperformance in the difference of these portfolios, when using models such as the CAPM, the Fama and French three-factor model (1993), the Carhart (1997) four factor model and the Fama and French (2015) five-factor model.
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spelling To “sin” or to be ethical? : comparing the performance of FTSE4Good index with sin stocksSin investmentsSocially responsible investmentsPerformance evaluationCAPMFama and French modelsCarhart’s modelInvestimentos sinInvestimentos socialmente responsáveisAvaliação do desempenhoFTSE4GoodModelos de Fama e FrenchModelo de CarhartDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis study focuses on the differences between being a socially responsible investor and a vice investor by investigating the performance of the FTSE4Good index and compare it with the performance of a “sin” portfolio. The dataset includes stocks from the European and American market over the period of 2001-2019. The results reveal that FTSE4Good portfolios outperform when compared with appropriate benchmarks. Additionally, by employing different models, the findings point out to a superior performance in the European “Sin” portfolio. Consistent with previous evidence, the results do not show an underperformance or outperformance in the difference of these portfolios, when using models such as the CAPM, the Fama and French three-factor model (1993), the Carhart (1997) four factor model and the Fama and French (2015) five-factor model.Neste estudo, o principal foco é analisar as diferenças entre um investidor socialmente responsável e um investidor que investe em stocks “sin”, ao comparar a performance do índice FTSE4Good com a performance de um portfolio “sin”. Os stocks analisados pertencem ao mercado Europeu e ao mercado dos EUA, durante o período de 2001 a 2019. A análise aos portfolios FTSE4Good revelam um desempenho superior quando comparados com outros comparáveis. Adicionalmente, ao utilizar diferentes modelos, os resultados apontam para um desempenho superior do portfólio “Sin” da Europa. Consistente com estudos anteriores, os resultados não mostram um desempenho inferior ou superior na diferença desses portfolios, quando aplicados modelos como o CAPM, o modelo de três fatores de Fama e French (1993), o modelo de quatro fatores de Carhart (1997) e o modelo Fama e French de cinco fatores (2015).Pinto, João Filipe MonteiroVeritati - Repositório Institucional da Universidade Católica PortuguesaFragateiro, Ana Rita Chorão2021-02-03T15:44:17Z2020-07-0820202020-07-08T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/31883TID:202560970enginfo: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:RCAAP2023-07-12T17:37:18Zoai:repositorio.ucp.pt:10400.14/31883Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:25:38.794001Repositório 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 To “sin” or to be ethical? : comparing the performance of FTSE4Good index with sin stocks
title To “sin” or to be ethical? : comparing the performance of FTSE4Good index with sin stocks
spellingShingle To “sin” or to be ethical? : comparing the performance of FTSE4Good index with sin stocks
Fragateiro, Ana Rita Chorão
Sin investments
Socially responsible investments
Performance evaluation
CAPM
Fama and French models
Carhart’s model
Investimentos sin
Investimentos socialmente responsáveis
Avaliação do desempenho
FTSE4Good
Modelos de Fama e French
Modelo de Carhart
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short To “sin” or to be ethical? : comparing the performance of FTSE4Good index with sin stocks
title_full To “sin” or to be ethical? : comparing the performance of FTSE4Good index with sin stocks
title_fullStr To “sin” or to be ethical? : comparing the performance of FTSE4Good index with sin stocks
title_full_unstemmed To “sin” or to be ethical? : comparing the performance of FTSE4Good index with sin stocks
title_sort To “sin” or to be ethical? : comparing the performance of FTSE4Good index with sin stocks
author Fragateiro, Ana Rita Chorão
author_facet Fragateiro, Ana Rita Chorão
author_role author
dc.contributor.none.fl_str_mv Pinto, João Filipe Monteiro
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Fragateiro, Ana Rita Chorão
dc.subject.por.fl_str_mv Sin investments
Socially responsible investments
Performance evaluation
CAPM
Fama and French models
Carhart’s model
Investimentos sin
Investimentos socialmente responsáveis
Avaliação do desempenho
FTSE4Good
Modelos de Fama e French
Modelo de Carhart
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Sin investments
Socially responsible investments
Performance evaluation
CAPM
Fama and French models
Carhart’s model
Investimentos sin
Investimentos socialmente responsáveis
Avaliação do desempenho
FTSE4Good
Modelos de Fama e French
Modelo de Carhart
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This study focuses on the differences between being a socially responsible investor and a vice investor by investigating the performance of the FTSE4Good index and compare it with the performance of a “sin” portfolio. The dataset includes stocks from the European and American market over the period of 2001-2019. The results reveal that FTSE4Good portfolios outperform when compared with appropriate benchmarks. Additionally, by employing different models, the findings point out to a superior performance in the European “Sin” portfolio. Consistent with previous evidence, the results do not show an underperformance or outperformance in the difference of these portfolios, when using models such as the CAPM, the Fama and French three-factor model (1993), the Carhart (1997) four factor model and the Fama and French (2015) five-factor model.
publishDate 2020
dc.date.none.fl_str_mv 2020-07-08
2020
2020-07-08T00:00:00Z
2021-02-03T15:44:17Z
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/10400.14/31883
TID:202560970
url http://hdl.handle.net/10400.14/31883
identifier_str_mv TID:202560970
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 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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