Responsible minus irresponsible (Rmi) - a pricing anomaly?

Detalhes bibliográficos
Autor(a) principal: Husse, Thomas Rudolf Maximilian
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/10362/114487
Resumo: This study is a novel approach to explain the relationship between ESG and financial performance. It adopts a new method for constructing an ESG-size portfolio that eliminates the inherent correlation between size and ESG. This is a zero initial investment portfolio which goes long in responsible companies and short in irresponsible companies, called” Responsible Minus Irresponsible” (RMI). The findings suggest that ESG represents a pricing anomaly but does not act as an independent risk factor that can be used to in Asset Pricing Theory. During the Corona crisis, the RMI portfolio produced on average negative returns.
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spelling Responsible minus irresponsible (Rmi) - a pricing anomaly?EsgFactor analysisPricing anomalyCross-sectional analysisCovid-19Domínio/Área Científica::Ciências Sociais::Economia e GestãoThis study is a novel approach to explain the relationship between ESG and financial performance. It adopts a new method for constructing an ESG-size portfolio that eliminates the inherent correlation between size and ESG. This is a zero initial investment portfolio which goes long in responsible companies and short in irresponsible companies, called” Responsible Minus Irresponsible” (RMI). The findings suggest that ESG represents a pricing anomaly but does not act as an independent risk factor that can be used to in Asset Pricing Theory. During the Corona crisis, the RMI portfolio produced on average negative returns.Ottonello, GiorgioPippo, FedericoRUNHusse, Thomas Rudolf Maximilian2020-07-202020-06-262024-06-26T00:00:00Z2020-07-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/114487TID:202610020enginfo: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:RCAAP2024-03-11T04:57:12Zoai:run.unl.pt:10362/114487Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:42:33.341951Repositório 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 Responsible minus irresponsible (Rmi) - a pricing anomaly?
title Responsible minus irresponsible (Rmi) - a pricing anomaly?
spellingShingle Responsible minus irresponsible (Rmi) - a pricing anomaly?
Husse, Thomas Rudolf Maximilian
Esg
Factor analysis
Pricing anomaly
Cross-sectional analysis
Covid-19
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Responsible minus irresponsible (Rmi) - a pricing anomaly?
title_full Responsible minus irresponsible (Rmi) - a pricing anomaly?
title_fullStr Responsible minus irresponsible (Rmi) - a pricing anomaly?
title_full_unstemmed Responsible minus irresponsible (Rmi) - a pricing anomaly?
title_sort Responsible minus irresponsible (Rmi) - a pricing anomaly?
author Husse, Thomas Rudolf Maximilian
author_facet Husse, Thomas Rudolf Maximilian
author_role author
dc.contributor.none.fl_str_mv Ottonello, Giorgio
Pippo, Federico
RUN
dc.contributor.author.fl_str_mv Husse, Thomas Rudolf Maximilian
dc.subject.por.fl_str_mv Esg
Factor analysis
Pricing anomaly
Cross-sectional analysis
Covid-19
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Esg
Factor analysis
Pricing anomaly
Cross-sectional analysis
Covid-19
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This study is a novel approach to explain the relationship between ESG and financial performance. It adopts a new method for constructing an ESG-size portfolio that eliminates the inherent correlation between size and ESG. This is a zero initial investment portfolio which goes long in responsible companies and short in irresponsible companies, called” Responsible Minus Irresponsible” (RMI). The findings suggest that ESG represents a pricing anomaly but does not act as an independent risk factor that can be used to in Asset Pricing Theory. During the Corona crisis, the RMI portfolio produced on average negative returns.
publishDate 2020
dc.date.none.fl_str_mv 2020-07-20
2020-06-26
2020-07-20T00:00:00Z
2024-06-26T00:00:00Z
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/10362/114487
TID:202610020
url http://hdl.handle.net/10362/114487
identifier_str_mv TID:202610020
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
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