An empirical analysis of quantitative investment strategies based on governance factors

Bibliographic Details
Main Author: Tornieporth, Felix
Publication Date: 2021
Format: Master thesis
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10362/156867
Summary: This work project examines and quantifies the financial impact of corporate governance on the performance of portfolios in European capital markets. Corporate governance refers to a set of rules, practices and procedures by which a company is managed and controlled. In this paper, four different scores, Corporate Governance as an overall score and three sub-themes: Management, Shareholders and CSR Strategy, are used as investment factors. Various portfolios are constructed and evaluated based on these factors. The hypothesis that higher scores in corporate governance lead to higher risk-adjusted returns cannot be proven, neither for the governance pillar nor its three sub-themes.
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spelling An empirical analysis of quantitative investment strategies based on governance factorsFactor investingPortfolio managementEsg investingQuantitative investingGovernance factorsDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis work project examines and quantifies the financial impact of corporate governance on the performance of portfolios in European capital markets. Corporate governance refers to a set of rules, practices and procedures by which a company is managed and controlled. In this paper, four different scores, Corporate Governance as an overall score and three sub-themes: Management, Shareholders and CSR Strategy, are used as investment factors. Various portfolios are constructed and evaluated based on these factors. The hypothesis that higher scores in corporate governance lead to higher risk-adjusted returns cannot be proven, neither for the governance pillar nor its three sub-themes.Hirschey, NicholasRUNTornieporth, Felix2023-08-25T15:22:14Z2022-01-112021-12-172022-01-11T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/156867TID:202997499enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-05-22T18:13:47Zoai:run.unl.pt:10362/156867Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T17:44:12.088844Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv An empirical analysis of quantitative investment strategies based on governance factors
title An empirical analysis of quantitative investment strategies based on governance factors
spellingShingle An empirical analysis of quantitative investment strategies based on governance factors
Tornieporth, Felix
Factor investing
Portfolio management
Esg investing
Quantitative investing
Governance factors
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short An empirical analysis of quantitative investment strategies based on governance factors
title_full An empirical analysis of quantitative investment strategies based on governance factors
title_fullStr An empirical analysis of quantitative investment strategies based on governance factors
title_full_unstemmed An empirical analysis of quantitative investment strategies based on governance factors
title_sort An empirical analysis of quantitative investment strategies based on governance factors
author Tornieporth, Felix
author_facet Tornieporth, Felix
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas
RUN
dc.contributor.author.fl_str_mv Tornieporth, Felix
dc.subject.por.fl_str_mv Factor investing
Portfolio management
Esg investing
Quantitative investing
Governance factors
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Factor investing
Portfolio management
Esg investing
Quantitative investing
Governance factors
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This work project examines and quantifies the financial impact of corporate governance on the performance of portfolios in European capital markets. Corporate governance refers to a set of rules, practices and procedures by which a company is managed and controlled. In this paper, four different scores, Corporate Governance as an overall score and three sub-themes: Management, Shareholders and CSR Strategy, are used as investment factors. Various portfolios are constructed and evaluated based on these factors. The hypothesis that higher scores in corporate governance lead to higher risk-adjusted returns cannot be proven, neither for the governance pillar nor its three sub-themes.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-01-11
2022-01-11T00:00:00Z
2023-08-25T15:22:14Z
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/10362/156867
TID:202997499
url http://hdl.handle.net/10362/156867
identifier_str_mv TID:202997499
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:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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