ESG Investing: An analysis on the performance of sustainable ETFs

Detalhes bibliográficos
Autor(a) principal: Prazeres, Filipe Tomás da Piedade
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/136690
Resumo: Internship Report presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
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spelling ESG Investing: An analysis on the performance of sustainable ETFsESGETFESG PerformanceCapital MarketsAsset Pricing ModelsInternship Report presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementIn recent decades the financial markets have seen the expansion of ESG investing, as financial institutions and individuals progressively recognize the environmental, social and governance issues, i.e., ESG factors, translating into potential risk factors that can not only affect the overall business structure but also the returns on their investments. Parallel to this increase in the awareness of the overall population, investors across the globe have also been in highly demand for passive investments in the form of Exchange Traded Funds (ETFs). Both were initially considered as a trend in the financial sector but nowadays, it is fully incorporated in the practices of both asset managers and institutional/retail investors. This study analyses the performance of European domiciled ETFs, focused on European equity, with high ESG ratings, and compares them against low ESG rating ETFs to assess if the ESG factors can indeed produce significant better results for investors. For this research it will be used monthly data considering a sample period from 31st of October 2016 to the 31st of October 2020, i.e., 4 years. As a measure of ESG, the Morningstar Sustainability Rating will be employed on this study to divide the ETFs in two portfolios: the sustainable and unsustainable portfolios. Afterwards, the alphas of each portfolio will be obtained by employing 4 different factor models: the CAPM, the Fama-French 3-factor model, the Carhart 4-factor model and the Fama-French 5-factor model. The results obtained were unable to provide a clear evidence to support the outperformance of sustainable ETFs over unsustainable ETFs. However, this research indicated that from all the factor considering models studied, the Fama-French 5-factor model revealed to have the biggest power of explanation regarding the returns of both sustainable and unsustainable ETFs.Branco, Carlos Rafael SantosRUNPrazeres, Filipe Tomás da Piedade2022-04-20T14:57:01Z2022-04-062022-04-06T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/136690TID:203022432enginfo: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:RCAAP2024-03-11T05:14:39Zoai:run.unl.pt:10362/136690Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:48:45.239486Repositório 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 ESG Investing: An analysis on the performance of sustainable ETFs
title ESG Investing: An analysis on the performance of sustainable ETFs
spellingShingle ESG Investing: An analysis on the performance of sustainable ETFs
Prazeres, Filipe Tomás da Piedade
ESG
ETF
ESG Performance
Capital Markets
Asset Pricing Models
title_short ESG Investing: An analysis on the performance of sustainable ETFs
title_full ESG Investing: An analysis on the performance of sustainable ETFs
title_fullStr ESG Investing: An analysis on the performance of sustainable ETFs
title_full_unstemmed ESG Investing: An analysis on the performance of sustainable ETFs
title_sort ESG Investing: An analysis on the performance of sustainable ETFs
author Prazeres, Filipe Tomás da Piedade
author_facet Prazeres, Filipe Tomás da Piedade
author_role author
dc.contributor.none.fl_str_mv Branco, Carlos Rafael Santos
RUN
dc.contributor.author.fl_str_mv Prazeres, Filipe Tomás da Piedade
dc.subject.por.fl_str_mv ESG
ETF
ESG Performance
Capital Markets
Asset Pricing Models
topic ESG
ETF
ESG Performance
Capital Markets
Asset Pricing Models
description Internship Report presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2022
dc.date.none.fl_str_mv 2022-04-20T14:57:01Z
2022-04-06
2022-04-06T00:00:00Z
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/10362/136690
TID:203022432
url http://hdl.handle.net/10362/136690
identifier_str_mv TID:203022432
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
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