Establishing ESG as a systematic risk factor in portfolio construction
Autor(a) principal: | |
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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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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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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1799138099266060288 |