Publication
Socially responsible investing: does the social pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
| Summary: | Using a large dataset of social ratings, this empirical analysis examines the financial performance of portfolios based on socially responsible investments in European equities. While there remains a dissensus among academics whether socially responsible investments can yield a significant outperformance, this thesis provides evidence that socially driven investments can provide positive and statistically significant risk-adjusted returns to the investor. Portfolios are for med through the best-in-class/ worst-in-class approach, using social ratings cores and sub-scores. Portfolio performance is evaluated in a Fama-French-Carhart four-factor model, providing evidence for positive and significant alphas within several long-only as well as net-zero investment portfolios (long-short). |
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| Main Authors: | Jaeger, Moritz Nikolaus |
| Subject: | Factor investing Portfolio management Esg investing Socially responsible investing Social investing |
| Year: | 2022 |
| Country: | Portugal |
| Document type: | master thesis |
| Access type: | open access |
| Associated institution: | Universidade Nova de Lisboa |
| Language: | English |
| Origin: | Repositório Institucional da UNL |
| Summary: | Using a large dataset of social ratings, this empirical analysis examines the financial performance of portfolios based on socially responsible investments in European equities. While there remains a dissensus among academics whether socially responsible investments can yield a significant outperformance, this thesis provides evidence that socially driven investments can provide positive and statistically significant risk-adjusted returns to the investor. Portfolios are for med through the best-in-class/ worst-in-class approach, using social ratings cores and sub-scores. Portfolio performance is evaluated in a Fama-French-Carhart four-factor model, providing evidence for positive and significant alphas within several long-only as well as net-zero investment portfolios (long-short). |
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