Analysis of quantitative investment strategies - unraveling the Esg low-volatility link: do Esg provide risk-adjusted returns in European markets

Bibliographic Details
Main Author: Calafate, Ana Teresa de Sousa
Publication Date: 2023
Format: Master thesis
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10362/179739
Summary: This paper addresses the gap in understanding the link between ESG criteria and the low volatility signal in the European Market. Best-in-class and worst-in-class portfolios, based on ESG scores and volatility individually and subsequently on a combined strategy, consistently show that low ESG score decile stocks outperform top decile stocks in both individual and combined strategies. Both portfolios provide positive significant alphas against CAPM and FF5, with the lower ESG portfolio demonstrating superior alphas. However, conflicting results are found in the group part of the field lab, proving distinct outcomes between the United States and European markets.
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spelling Analysis of quantitative investment strategies - unraveling the Esg low-volatility link: do Esg provide risk-adjusted returns in European marketsFinanceQuantitative investingPortfolio constructionEsg investingLow-volatilityEuropeDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper addresses the gap in understanding the link between ESG criteria and the low volatility signal in the European Market. Best-in-class and worst-in-class portfolios, based on ESG scores and volatility individually and subsequently on a combined strategy, consistently show that low ESG score decile stocks outperform top decile stocks in both individual and combined strategies. Both portfolios provide positive significant alphas against CAPM and FF5, with the lower ESG portfolio demonstrating superior alphas. However, conflicting results are found in the group part of the field lab, proving distinct outcomes between the United States and European markets.Hirschey, NicholasRUNCalafate, Ana Teresa de Sousa2025-02-25T10:47:30Z2024-01-222023-12-202024-01-22T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/179739TID:203865782enginfo: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:RCAAP2025-03-03T01:38:45Zoai:run.unl.pt:10362/179739Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T00:06:59.924817Repositórios 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 Analysis of quantitative investment strategies - unraveling the Esg low-volatility link: do Esg provide risk-adjusted returns in European markets
title Analysis of quantitative investment strategies - unraveling the Esg low-volatility link: do Esg provide risk-adjusted returns in European markets
spellingShingle Analysis of quantitative investment strategies - unraveling the Esg low-volatility link: do Esg provide risk-adjusted returns in European markets
Calafate, Ana Teresa de Sousa
Finance
Quantitative investing
Portfolio construction
Esg investing
Low-volatility
Europe
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Analysis of quantitative investment strategies - unraveling the Esg low-volatility link: do Esg provide risk-adjusted returns in European markets
title_full Analysis of quantitative investment strategies - unraveling the Esg low-volatility link: do Esg provide risk-adjusted returns in European markets
title_fullStr Analysis of quantitative investment strategies - unraveling the Esg low-volatility link: do Esg provide risk-adjusted returns in European markets
title_full_unstemmed Analysis of quantitative investment strategies - unraveling the Esg low-volatility link: do Esg provide risk-adjusted returns in European markets
title_sort Analysis of quantitative investment strategies - unraveling the Esg low-volatility link: do Esg provide risk-adjusted returns in European markets
author Calafate, Ana Teresa de Sousa
author_facet Calafate, Ana Teresa de Sousa
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas
RUN
dc.contributor.author.fl_str_mv Calafate, Ana Teresa de Sousa
dc.subject.por.fl_str_mv Finance
Quantitative investing
Portfolio construction
Esg investing
Low-volatility
Europe
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Finance
Quantitative investing
Portfolio construction
Esg investing
Low-volatility
Europe
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This paper addresses the gap in understanding the link between ESG criteria and the low volatility signal in the European Market. Best-in-class and worst-in-class portfolios, based on ESG scores and volatility individually and subsequently on a combined strategy, consistently show that low ESG score decile stocks outperform top decile stocks in both individual and combined strategies. Both portfolios provide positive significant alphas against CAPM and FF5, with the lower ESG portfolio demonstrating superior alphas. However, conflicting results are found in the group part of the field lab, proving distinct outcomes between the United States and European markets.
publishDate 2023
dc.date.none.fl_str_mv 2023-12-20
2024-01-22
2024-01-22T00:00:00Z
2025-02-25T10:47:30Z
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/10362/179739
TID:203865782
url http://hdl.handle.net/10362/179739
identifier_str_mv TID:203865782
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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