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The financial effects of investing with social criteria: evidence from Europe

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Resumo:The main purpose of this dissertation is to evaluate the performance of European-based portfolios formed on the Social pillar (in the strict sense) in order to assess the financial impact of investing with social criteria. The study covers 990 European companies that are rated by Thomson Reuters Refinitiv ESG from 2010 to 2020. Portfolios are formed annually using the positive approach, by ranking the company according to its scores and selecting the best 30% companies to the top-rated portfolio and the 30% worst to the low-rated portfolio. Both equally weighted and value weighted portfolios were formed. Two indices are used as benchmarks: The MSCI Europe Index is the general benchmark, and the FTSE EUROTOP 100 is composed by the 100 most highly capitalised companies in Europe. The models used to evaluate portfolio performance are the Carhart (1997) four-factor model and the Fama and French (2015) fivefactor model, both in the original specification and in the conditional specification (as in Christopherson et al., 1998). For robustness purposes, different cut-offs (10% and 20%) were used to form portfolios. Furthermore, this research addresses portfolio performance in times of the Covid recession. The results showed some evidence abnormal returns from portfolios formed on social criteria. The results also show that portfolio performance is resilient to the crisis period associated to the recession that followed the Covid-19 pandemic.
Autores principais:Silva, Ricardo Miguel Matos da
Assunto:ESG score Socially responsible investment Social score Weighted portfolio ESG performance Carteiras de investimento ponderadas Classificação ESG Classificação social Investimento socialmente responsável Performance ESG Ciências Sociais::Economia e Gestão
Ano:2021
País:Portugal
Tipo de documento:dissertação de mestrado
Tipo de acesso:acesso aberto
Instituição associada:Universidade do Minho
Idioma:inglês
Origem:RepositóriUM - Universidade do Minho

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