Show simple item record

dc.contributor.authorHasan, Raihan
dc.contributor.authorEsping, Otilia
dc.date.accessioned2022-06-29T09:55:26Z
dc.date.available2022-06-29T09:55:26Z
dc.date.issued2022-06-29
dc.identifier.urihttps://hdl.handle.net/2077/72399
dc.descriptionMSc in Financeen_US
dc.description.abstractWe propose an investment strategy with the potential for investors to gain a stronger environmental, social, and corporate governance (ESG) profile without a negative impact on performance. Specifically, we study the performance of a parametric portfolio policy when utilizing ESG score and ESG momentum characteristics in addition to value and momentum, in contrast to utilizing value and momentum only. We compare the performance of these two policies using both fixed and dynamic coefficients modelled with generalized autoregressive score (GAS). Our sample covers all S&P 500 constituents over the period Feb 2003 to Jan 2021. We find the “policy with ESG” to perform significantly better in-sample. Out-of-sample results show some tendency for the “policy with ESG” to perform better compared to the “policy without ESG”, although the difference in performance is not significant. Additionally, we find the “policy with ESG” to have consistently higher average ESG portfolio scores, suggesting the potential for investors to gain a stronger ESG profile without sacrificing financial returns.en_US
dc.language.isoengen_US
dc.relation.ispartofseries2022:161en_US
dc.subjectSustainable investmenten_US
dc.subjectESGen_US
dc.subjectParametric portfolio policyen_US
dc.subjectGeneralized autoregressive score (GAS)en_US
dc.titleParametric portfolio policies with ESG -There is no costen_US
dc.typeText
dc.setspec.uppsokSocialBehaviourLaw
dc.type.uppsokH2
dc.contributor.departmentUniversity of Gothenburg/Graduate Schooleng
dc.contributor.departmentGöteborgs universitet/Graduate Schoolswe
dc.type.degreeMaster 2-years


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record