Establishing ESG as a systematic risk factor in portfolio construction

Detalhes bibliográficos
Autor(a) principal: Astore, Alessandro
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/142184
Resumo: The paper develops a micro and macro analysis to estimate ESG as a quantitative factor in portfolio construction. It uses top-down and bottom-up considerations to respectively assess the exposure of U.S. funds to a built-up ESG factor and to state the expected contribution to excess returns of ESG stocks. The reader will empirically find that equity funds are tilted towards ESG stock seven predicting a negative impact on portfolio returns in the short run. The exposure is justified mainly by future expectations and stringent regulations. Lastly, with the aim of tangibly applying the theoretical model, Thematic Funds were highlighted.
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spelling Establishing ESG as a systematic risk factor in portfolio constructionSustainabilityFinanceStock returnsFinancial performanceFactor investingESG integrationMutual fundsEnvironmental regulationsActive managementPortfolio constructionDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe paper develops a micro and macro analysis to estimate ESG as a quantitative factor in portfolio construction. It uses top-down and bottom-up considerations to respectively assess the exposure of U.S. funds to a built-up ESG factor and to state the expected contribution to excess returns of ESG stocks. The reader will empirically find that equity funds are tilted towards ESG stock seven predicting a negative impact on portfolio returns in the short run. The exposure is justified mainly by future expectations and stringent regulations. Lastly, with the aim of tangibly applying the theoretical model, Thematic Funds were highlighted.Prado, MelissaRUNAstore, Alessandro2022-01-122021-12-172024-12-17T00:00:00Z2022-01-12T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/142184TID:202997510enginfo: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:RCAAP2024-03-11T05:19:40Zoai:run.unl.pt:10362/142184Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:11.489515Repositório 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 Establishing ESG as a systematic risk factor in portfolio construction
title Establishing ESG as a systematic risk factor in portfolio construction
spellingShingle Establishing ESG as a systematic risk factor in portfolio construction
Astore, Alessandro
Sustainability
Finance
Stock returns
Financial performance
Factor investing
ESG integration
Mutual funds
Environmental regulations
Active management
Portfolio construction
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Establishing ESG as a systematic risk factor in portfolio construction
title_full Establishing ESG as a systematic risk factor in portfolio construction
title_fullStr Establishing ESG as a systematic risk factor in portfolio construction
title_full_unstemmed Establishing ESG as a systematic risk factor in portfolio construction
title_sort Establishing ESG as a systematic risk factor in portfolio construction
author Astore, Alessandro
author_facet Astore, Alessandro
author_role author
dc.contributor.none.fl_str_mv Prado, Melissa
RUN
dc.contributor.author.fl_str_mv Astore, Alessandro
dc.subject.por.fl_str_mv Sustainability
Finance
Stock returns
Financial performance
Factor investing
ESG integration
Mutual funds
Environmental regulations
Active management
Portfolio construction
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Sustainability
Finance
Stock returns
Financial performance
Factor investing
ESG integration
Mutual funds
Environmental regulations
Active management
Portfolio construction
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The paper develops a micro and macro analysis to estimate ESG as a quantitative factor in portfolio construction. It uses top-down and bottom-up considerations to respectively assess the exposure of U.S. funds to a built-up ESG factor and to state the expected contribution to excess returns of ESG stocks. The reader will empirically find that equity funds are tilted towards ESG stock seven predicting a negative impact on portfolio returns in the short run. The exposure is justified mainly by future expectations and stringent regulations. Lastly, with the aim of tangibly applying the theoretical model, Thematic Funds were highlighted.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-01-12
2022-01-12T00:00:00Z
2024-12-17T00:00:00Z
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/10362/142184
TID:202997510
url http://hdl.handle.net/10362/142184
identifier_str_mv TID:202997510
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
repository.mail.fl_str_mv
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