Socially responsible investing: does the environmental pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe

Detalhes bibliográficos
Autor(a) principal: Bauer, Dominik Christopher
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/10362/140480
Resumo: In this paper, the influence of the environmental pillar of companies’ ESG scoring on investors’ portfolio returns is analyzed. Based on these individual scores, best-in-class and worst-in-class portfolios are formed of companies for a broad European market index. In a naïve performance analysis, portfolios consisting of the low-rated companies show higher annual returns than the market, whereas high-scoring companies underperform the market. However, when tested in a Fama-French-Carhart four-factor model, evidence is found for positive risk-adjusted excess returns for zero-investment long-short (High-Low) portfolios for the overall environment score and the resource use sub-theme.
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spelling Socially responsible investing: does the environmental pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from EuropePortfolio managementEsg investingSocially responsible investingQuantitative investingEnvironmental investingDomínio/Área Científica::Ciências Sociais::Economia e GestãoIn this paper, the influence of the environmental pillar of companies’ ESG scoring on investors’ portfolio returns is analyzed. Based on these individual scores, best-in-class and worst-in-class portfolios are formed of companies for a broad European market index. In a naïve performance analysis, portfolios consisting of the low-rated companies show higher annual returns than the market, whereas high-scoring companies underperform the market. However, when tested in a Fama-French-Carhart four-factor model, evidence is found for positive risk-adjusted excess returns for zero-investment long-short (High-Low) portfolios for the overall environment score and the resource use sub-theme.Hirschey, NicholasRUNBauer, Dominik Christopher2022-06-22T10:31:00Z2022-01-112021-12-172022-01-11T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/140480TID:202973220enginfo: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:RCAAP2024-03-11T05:17:38Zoai:run.unl.pt:10362/140480Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:49:40.907756Repositório 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 Socially responsible investing: does the environmental pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
title Socially responsible investing: does the environmental pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
spellingShingle Socially responsible investing: does the environmental pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
Bauer, Dominik Christopher
Portfolio management
Esg investing
Socially responsible investing
Quantitative investing
Environmental investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Socially responsible investing: does the environmental pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
title_full Socially responsible investing: does the environmental pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
title_fullStr Socially responsible investing: does the environmental pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
title_full_unstemmed Socially responsible investing: does the environmental pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
title_sort Socially responsible investing: does the environmental pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
author Bauer, Dominik Christopher
author_facet Bauer, Dominik Christopher
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas
RUN
dc.contributor.author.fl_str_mv Bauer, Dominik Christopher
dc.subject.por.fl_str_mv Portfolio management
Esg investing
Socially responsible investing
Quantitative investing
Environmental investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Portfolio management
Esg investing
Socially responsible investing
Quantitative investing
Environmental investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description In this paper, the influence of the environmental pillar of companies’ ESG scoring on investors’ portfolio returns is analyzed. Based on these individual scores, best-in-class and worst-in-class portfolios are formed of companies for a broad European market index. In a naïve performance analysis, portfolios consisting of the low-rated companies show higher annual returns than the market, whereas high-scoring companies underperform the market. However, when tested in a Fama-French-Carhart four-factor model, evidence is found for positive risk-adjusted excess returns for zero-investment long-short (High-Low) portfolios for the overall environment score and the resource use sub-theme.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-06-22T10:31:00Z
2022-01-11
2022-01-11T00:00:00Z
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/10362/140480
TID:202973220
url http://hdl.handle.net/10362/140480
identifier_str_mv TID:202973220
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
repository.mail.fl_str_mv
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