Publicação
Sustainable investing in emerging markets- carbon risk in Brazil
| Resumo: | As demand for sustainable investments continues to grow, asset managers are increasingly looking for ways to incorporate environmental, social and governance (ESG) factors into their investment strategies. However, sustainable investing in emerging markets has yet to reach its full potential. A lack of available ESG data and inconsistencies among ratings present significant challenges. With the aim of bridging the gap, this paper explores a capital market based approach to integrate ESG aspects into portfolio management on the example of Brazil and Africa. Estimating different ESG factor betas of the stocks enables the construction of portfolios with high exposure to good ESG practices. The analysis shows that the performance of portfolios varies with the ESG factors as well as the geographic regions. None of the African portfolios with high exposure to an assessed factor outperformed the benchmark. In Brazil, the portfolio with a high exposure to factor G (governance) and ESG (MSCI ESG rating) presented a better risk-adjusted performance than the benchmark. |
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| Autores principais: | Zehnder, Carmen |
| Assunto: | Esg investing Carbon risk Portfolio construction Emerging markets Economic transition Brasil Climate finance Sustainable investing. |
| Ano: | 2023 |
| 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 |
| Resumo: | As demand for sustainable investments continues to grow, asset managers are increasingly looking for ways to incorporate environmental, social and governance (ESG) factors into their investment strategies. However, sustainable investing in emerging markets has yet to reach its full potential. A lack of available ESG data and inconsistencies among ratings present significant challenges. With the aim of bridging the gap, this paper explores a capital market based approach to integrate ESG aspects into portfolio management on the example of Brazil and Africa. Estimating different ESG factor betas of the stocks enables the construction of portfolios with high exposure to good ESG practices. The analysis shows that the performance of portfolios varies with the ESG factors as well as the geographic regions. None of the African portfolios with high exposure to an assessed factor outperformed the benchmark. In Brazil, the portfolio with a high exposure to factor G (governance) and ESG (MSCI ESG rating) presented a better risk-adjusted performance than the benchmark. |
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