Socially responsible investing: does the social pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe

Detalhes bibliográficos
Autor(a) principal: Jaeger, Moritz Nikolaus
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Texto Completo: http://hdl.handle.net/10362/140504
Resumo: 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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spelling Socially responsible investing: does the social pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from EuropeFactor investingPortfolio managementEsg investingSocially responsible investingSocial investingDomínio/Área Científica::Ciências Sociais::Economia e GestãoUsing 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).Hirschey, NicholasRUNJaeger, Moritz Nikolaus2022-06-22T14:15:50Z2022-01-112021-12-172022-01-11T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/140504TID:202973077enginfo: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:RCAAP2024-05-22T18:02:42Zoai:run.unl.pt:10362/140504Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T17:33:33.389641Repositórios 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 Socially responsible investing: does the social pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
title Socially responsible investing: does the social pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
spellingShingle Socially responsible investing: does the social pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
Jaeger, Moritz Nikolaus
Factor investing
Portfolio management
Esg investing
Socially responsible investing
Social investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Socially responsible investing: does the social pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
title_full Socially responsible investing: does the social pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
title_fullStr Socially responsible investing: does the social pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
title_full_unstemmed Socially responsible investing: does the social pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
title_sort Socially responsible investing: does the social pillar of firms´ ESG factors provide information for investors- portfolio returns? Evidence from Europe
author Jaeger, Moritz Nikolaus
author_facet Jaeger, Moritz Nikolaus
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas
RUN
dc.contributor.author.fl_str_mv Jaeger, Moritz Nikolaus
dc.subject.por.fl_str_mv Factor investing
Portfolio management
Esg investing
Socially responsible investing
Social investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Factor investing
Portfolio management
Esg investing
Socially responsible investing
Social investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description 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).
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-06-22T14:15:50Z
2022-01-11
2022-01-11T00:00:00Z
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/10362/140504
TID:202973077
url http://hdl.handle.net/10362/140504
identifier_str_mv TID:202973077
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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