Exploiting an investment opportunity based on ESG Score
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/29054 |
Resumo: | The attitude of society towards the environment, good human and management practices is becoming more important and is therefore having a strong impact on the financial world. In this sense, there has been a broad discussion among investors about the topic when building their stock portfolios. Is it worth it to invest only in accordance with our values and principles? The empirical analysis consider returns of trading strategies built on company corporate social responsibility (CSR) as measured by Environmental, Social and Governance indicators (ESG) retrieved from the Thomson Reuters Datastream for the S&P 500 Index from 2002 to 2016. The results of the study point out that investors can increase their performance following a simple investment strategy based on ESG Score but in reverse. Using ESG Score as a starting point, an investor should buy the stocks with the lowest ESG Score and selling the stocks with the higher values. This trading strategy leads to high abnormal returns of up to 7,92% per year and an annualized Sharpe ratio of 1,06. Investors should adopt this trading strategy and invest in projects that encourage initiatives that meet their values and convictions. |
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Exploiting an investment opportunity based on ESG ScoreSocially responsible investingESG ScoreTrading strategyInvestimento socialmente responsávelEstratégia de investimentoDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe attitude of society towards the environment, good human and management practices is becoming more important and is therefore having a strong impact on the financial world. In this sense, there has been a broad discussion among investors about the topic when building their stock portfolios. Is it worth it to invest only in accordance with our values and principles? The empirical analysis consider returns of trading strategies built on company corporate social responsibility (CSR) as measured by Environmental, Social and Governance indicators (ESG) retrieved from the Thomson Reuters Datastream for the S&P 500 Index from 2002 to 2016. The results of the study point out that investors can increase their performance following a simple investment strategy based on ESG Score but in reverse. Using ESG Score as a starting point, an investor should buy the stocks with the lowest ESG Score and selling the stocks with the higher values. This trading strategy leads to high abnormal returns of up to 7,92% per year and an annualized Sharpe ratio of 1,06. Investors should adopt this trading strategy and invest in projects that encourage initiatives that meet their values and convictions.A crescente importância dada pela sociedade em relação ao meio ambiente, às boas práticas humanas e de gestão teve influência e um forte impacto no mundo financeiro. Nesse sentido, tem existido uma ampla discussão entre investidores sobre o tema aquando da construção do seu portfólio de ações. Valerá a pena investir apenas de acordo com os nossos valores e princípios? Na análise empírica, são considerados os retornos das estratégias de investimento, construídas com base em Corporate Social Responsability (CSR), medida pelo indicador Environment, Social, Governance (ESG) extraído da Thomson Reuters Datastream, para o Índice S&P 500, desde 2002 a 2016. Os resultados do estudo indicam que os investidores podem aumentar o seu desempenho seguindo uma estratégia de investimento simples baseada no ESG Score, mas em sentido inverso. Usando o ESG Score como ponto de partida, um investidor deve comprar as ações com o menor ESG Score e vender as ações com os valores mais altos. Esta estratégia permite obter retornos elevados de 7,92% anuais e um Sharpe ratio anualizado de 1,06. Os investidores devem adotar esta estratégia de negociação e com os retornos obtidos, investir em projetos que vão de encontro aos seus valores e convicções.Faias, José Afonso de Carvalho TavaresVeritati - Repositório Institucional da Universidade Católica PortuguesaGrileiro, Joana Rita Baleia2020-01-03T08:21:05Z2019-05-062019-05-06T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/29054TID:202270742enginfo: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:RCAAP2023-07-12T17:34:35Zoai:repositorio.ucp.pt:10400.14/29054Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:23:20.243381Repositório 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 |
Exploiting an investment opportunity based on ESG Score |
title |
Exploiting an investment opportunity based on ESG Score |
spellingShingle |
Exploiting an investment opportunity based on ESG Score Grileiro, Joana Rita Baleia Socially responsible investing ESG Score Trading strategy Investimento socialmente responsável Estratégia de investimento Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Exploiting an investment opportunity based on ESG Score |
title_full |
Exploiting an investment opportunity based on ESG Score |
title_fullStr |
Exploiting an investment opportunity based on ESG Score |
title_full_unstemmed |
Exploiting an investment opportunity based on ESG Score |
title_sort |
Exploiting an investment opportunity based on ESG Score |
author |
Grileiro, Joana Rita Baleia |
author_facet |
Grileiro, Joana Rita Baleia |
author_role |
author |
dc.contributor.none.fl_str_mv |
Faias, José Afonso de Carvalho Tavares Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Grileiro, Joana Rita Baleia |
dc.subject.por.fl_str_mv |
Socially responsible investing ESG Score Trading strategy Investimento socialmente responsável Estratégia de investimento Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Socially responsible investing ESG Score Trading strategy Investimento socialmente responsável Estratégia de investimento Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
The attitude of society towards the environment, good human and management practices is becoming more important and is therefore having a strong impact on the financial world. In this sense, there has been a broad discussion among investors about the topic when building their stock portfolios. Is it worth it to invest only in accordance with our values and principles? The empirical analysis consider returns of trading strategies built on company corporate social responsibility (CSR) as measured by Environmental, Social and Governance indicators (ESG) retrieved from the Thomson Reuters Datastream for the S&P 500 Index from 2002 to 2016. The results of the study point out that investors can increase their performance following a simple investment strategy based on ESG Score but in reverse. Using ESG Score as a starting point, an investor should buy the stocks with the lowest ESG Score and selling the stocks with the higher values. This trading strategy leads to high abnormal returns of up to 7,92% per year and an annualized Sharpe ratio of 1,06. Investors should adopt this trading strategy and invest in projects that encourage initiatives that meet their values and convictions. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-05-06 2019-05-06T00:00:00Z 2020-01-03T08:21:05Z |
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/10400.14/29054 TID:202270742 |
url |
http://hdl.handle.net/10400.14/29054 |
identifier_str_mv |
TID:202270742 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
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info:eu-repo/semantics/openAccess |
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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) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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