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

• Main Author: Jaeger, Moritz Nikolaus
• Publication Date: 2021
• Format: Master thesis
• Language: eng
• Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
• Download full: http://hdl.handle.net/10362/140504
• topic: Factor investing; Portfolio management; Esg investing; Socially responsible investing; Social investing; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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).