Sökning: "Portfolio sorting"
Visar resultat 1 - 5 av 22 uppsatser innehållade orden Portfolio sorting.
1. EXPLORING THE RELATIONSHIP BETWEEN ESG DISAGREEMENT AND STOCK RETURNS - AN EMPIRICAL ANALYSIS
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : During the recent years investors shifted their preferences towards sustainable stocks and funds, increasing the importance of Environmental, Social and Governance ratings. At a similar pace the related literature started to develop shedding light on some crucial aspects of the ESG ratings, such as the disagreement between rating agencies and the lack of common methodologies to assess the ratings. LÄS MER
2. Flight to climate: liquidity commonality in brown equities
Master-uppsats, Stockholms universitet/Företagsekonomiska institutionenSammanfattning : Emerging ESG studies have established a negative equilibrium correlation between ESG factors and stock returns in an economy predominately influenced by investors with nonpecuniary preference over high ESG credentials. However, little research has delved into a potential systematic liquidity risk phenomenon associated with aggregate trading activities of ESG-motivated investors who share a common nonzero ESG preference component in their utility function. LÄS MER
3. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. LÄS MER
4. Is there a carbon emission-return relation? Exploring the existence of a carbon emission return relation in the Swedish stock market
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : We use portfolio sorting and Fama-Macbeth regressions to investigate the potential relation between carbon emissions and stock returns in the Swedish stock market, a country with stringent carbon regulations and taxes. We research the Swedish stock market between 2010-2019 and do not find evidence of such a relationship. LÄS MER
5. ESG - Värdedrivare eller reglering
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis aim to evaluate how sustainability in terms of ESG-ratings affect portfolio performance. A portfolio strategy sorting stocks solely on ESG-ratings from MSCI will be evaluated with financial performance measures and regression analysis. Furthermore, the authors will use a quantitative method and incorporate stocks from the S&P 500. LÄS MER