The Performance of ESG Integration Strategies. Development of an ESG Integration Methodology for EU Equity Portfolios

The Performance of ESG Integration Strategies. Development of an ESG Integration Methodology for EU Equity Portfolios
Author :
Publisher :
Total Pages : 278
Release :
ISBN-10 : 3346506754
ISBN-13 : 9783346506757
Rating : 4/5 (54 Downloads)

Book Synopsis The Performance of ESG Integration Strategies. Development of an ESG Integration Methodology for EU Equity Portfolios by : Thomas Neuhofer

Download or read book The Performance of ESG Integration Strategies. Development of an ESG Integration Methodology for EU Equity Portfolios written by Thomas Neuhofer and published by . This book was released on 2021-09 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2021 in the subject Business economics - Investment and Finance, grade: 1.0, University of Applied Sciences Nuremberg, language: English, abstract: This thesis seeks to develop a practical SRI strategy for quantitatively integrating financially material ESG factors into E.U. equity portfolios. Specifically, it investigates if portfolios constructed from companies that invest heavily in their material sustainability factors achieve positive alphas. In this context, financially material information on sustainability factors means data whose concealment or misrepresentation may influence the investment decision. The thesis also examines whether positive alphas are achieved with portfolios of companies with low investments in their material sustainability factors. In addition, the study investigated how the level of corporate investments in immaterial and overall sustainability factors influence the risk-adjusted portfolio return. Furthermore, a robustness check of the results was based on the data from two sub-periods and one sub-sample. This study connects Refinitiv ESG and financial data with the Sustainable Accounting Standards Board's (SASB) ESG financial materiality classification for portfolio construction. The study analyzes European risk-factor and market data from the Kenneth R. French Data Library. To assess the portfolios' performance for 2004-2019 the Fama-French 3-factor, Carhart 4-factor, and Fama-French 5-factor models are used. In total, 48 ESG integrated portfolios were constructed and analyzed. Investors in the European Union stock market are increasingly pressured by clients and regulators to consider corporate sustainability factors when making investment decisions. Several studies have shown that sustainable and responsible investment (SRI) strategies offer a solution to this challenge. With SRI, investors can include companies' sustainability factors via environmental, social, and governance (ESG) information in th


The Performance of ESG Integration Strategies. Development of an ESG Integration Methodology for EU Equity Portfolios Related Books

The Performance of ESG Integration Strategies. Development of an ESG Integration Methodology for EU Equity Portfolios
Language: en
Pages: 278
Authors: Thomas Neuhofer
Categories:
Type: BOOK - Published: 2021-09 - Publisher:

DOWNLOAD EBOOK

Master's Thesis from the year 2021 in the subject Business economics - Investment and Finance, grade: 1.0, University of Applied Sciences Nuremberg, language: E
Digital Transformation, Strategic Resilience, Cyber Security and Risk Management
Language: en
Pages: 236
Authors: Simon Grima
Categories: Business & Economics
Type: BOOK - Published: 2023-09-28 - Publisher: Emerald Group Publishing

DOWNLOAD EBOOK

Contemporary Studies in Economic and Financial Analysis publishes a series of current and relevant themed volumes within the fields of economics and finance.
ESG and Responsible Institutional Investing Around the World: A Critical Review
Language: en
Pages: 80
Authors: Pedro Matos
Categories: Business & Economics
Type: BOOK - Published: 2020-05-29 - Publisher: CFA Institute Research Foundation

DOWNLOAD EBOOK

This survey examines the vibrant academic literature on environmental, social, and governance (ESG) investing. While there is no consensus on the exact list of
Responsible Investing
Language: en
Pages: 270
Authors: Matthew W. Sherwood
Categories: Business & Economics
Type: BOOK - Published: 2018-09-21 - Publisher: Routledge

DOWNLOAD EBOOK

This textbook provides the first holistic resource on Environmental, Social, and Governance (ESG) investing for undergraduate and graduate programs. It provides
Enhancing Sustainability Through Non-Financial Reporting
Language: en
Pages: 329
Authors: Monteiro, Albertina
Categories: Business & Economics
Type: BOOK - Published: 2023-10-16 - Publisher: IGI Global

DOWNLOAD EBOOK

The lack of transparency and accountability in organizations has made it difficult to identify, measure, and disclose their sustainable practices and impacts, c