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Cross asset strategy: integrating Nordic esg equities with machine learning, commodity pairs trading, and fx signals - esg momentum in Nordic stock market

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Resumo:This thesis evaluates a Nordic stock-based ESG momentum strategy that integrates ESG scores into portfolio creation, focusing on its profitability in the Nordic stock markets from 2008 to 2022. The empirical analysis using Nordic data will provide a valuable extension to current research on ESG Momentum, especially intriguing due to the region's robust governance policies. It explores whether companies with improving ESG performance yield a momentum premium. However, the findings indicate that in the Nordic markets, the ESG Momentum strategy did not generate statistically significant positive returns, resulting in portfolios with negative or marginally positive risk-adjusted returns. This study examines multi-asset portfolio construction using commodities, foreign exchange, and three equity ESG strategies in the Nordic market. Different allocation methods, including the Maximum Sharpe Ratio and asset weighted strategies, were analysed to understand how non-financial factors such as ESG and Commodity Terms of Trade Signals can impact portfolio performance.
Autores principais:Alt, Jaqueline
Assunto:Winners minus Llosers Esg integration Esg momentum Firm risk Sustainable finance
Ano:2024
País:Portugal
Tipo de documento:dissertação de mestrado
Tipo de acesso:acesso aberto
Instituição associada:Universidade Nova de Lisboa
Idioma:inglês
Origem:Repositório Institucional da UNL

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