Integrating ESG in factor-based investing in the sovereign bond markets: a value approach

Detalhes bibliográficos
Autor(a) principal: Ribeiro, Carlota Martins Pintado Alves
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/10362/143030
Resumo: The group report analyses the joint impact of Momentum, Value, Size, and Low Volatility in factor-based investing in sovereign bond emerging and developed markets, develops an ESG factor and assesses its effect across all strategies. This paper focuses on a Value based strategy implemented with OAS and finds that controlling for credit risk is essential to capture positive returns exclusive of OAS. Results show that ESG captures bonds risk premium and allows to better control for risk, presenting a new approach to sovereign bonds market and complementing the already existing literature that shows the impact of ESG on corporate credit spreads.
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spelling Integrating ESG in factor-based investing in the sovereign bond markets: a value approachFinanceFinancial marketsFinancial or data analysisEsgSovereign bondsFactor-based investingDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe group report analyses the joint impact of Momentum, Value, Size, and Low Volatility in factor-based investing in sovereign bond emerging and developed markets, develops an ESG factor and assesses its effect across all strategies. This paper focuses on a Value based strategy implemented with OAS and finds that controlling for credit risk is essential to capture positive returns exclusive of OAS. Results show that ESG captures bonds risk premium and allows to better control for risk, presenting a new approach to sovereign bonds market and complementing the already existing literature that shows the impact of ESG on corporate credit spreads.Hirschey, Nicholas H.RUNRibeiro, Carlota Martins Pintado Alves2022-08-16T11:06:04Z2022-01-102021-12-172022-01-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/143030TID:203039645enginfo: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:RCAAP2024-03-11T05:21:03Zoai:run.unl.pt:10362/143030Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:38.209941Repositório 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 Integrating ESG in factor-based investing in the sovereign bond markets: a value approach
title Integrating ESG in factor-based investing in the sovereign bond markets: a value approach
spellingShingle Integrating ESG in factor-based investing in the sovereign bond markets: a value approach
Ribeiro, Carlota Martins Pintado Alves
Finance
Financial markets
Financial or data analysis
Esg
Sovereign bonds
Factor-based investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Integrating ESG in factor-based investing in the sovereign bond markets: a value approach
title_full Integrating ESG in factor-based investing in the sovereign bond markets: a value approach
title_fullStr Integrating ESG in factor-based investing in the sovereign bond markets: a value approach
title_full_unstemmed Integrating ESG in factor-based investing in the sovereign bond markets: a value approach
title_sort Integrating ESG in factor-based investing in the sovereign bond markets: a value approach
author Ribeiro, Carlota Martins Pintado Alves
author_facet Ribeiro, Carlota Martins Pintado Alves
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas H.
RUN
dc.contributor.author.fl_str_mv Ribeiro, Carlota Martins Pintado Alves
dc.subject.por.fl_str_mv Finance
Financial markets
Financial or data analysis
Esg
Sovereign bonds
Factor-based investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Finance
Financial markets
Financial or data analysis
Esg
Sovereign bonds
Factor-based investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The group report analyses the joint impact of Momentum, Value, Size, and Low Volatility in factor-based investing in sovereign bond emerging and developed markets, develops an ESG factor and assesses its effect across all strategies. This paper focuses on a Value based strategy implemented with OAS and finds that controlling for credit risk is essential to capture positive returns exclusive of OAS. Results show that ESG captures bonds risk premium and allows to better control for risk, presenting a new approach to sovereign bonds market and complementing the already existing literature that shows the impact of ESG on corporate credit spreads.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-08-16T11:06:04Z
2022-01-10
2022-01-10T00:00:00Z
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/10362/143030
TID:203039645
url http://hdl.handle.net/10362/143030
identifier_str_mv TID:203039645
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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