To “sin” or to be ethical? : comparing the performance of FTSE4Good index with sin stocks
Autor(a) principal: | |
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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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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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1799131971214901248 |