Sökning: "esg momentum"

Visar resultat 1 - 5 av 16 uppsatser innehållade orden esg momentum.

  1. 1. The Impact of ESG-Scores on Portfolio Performance - A quantitative study on sustainable investments.

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Max Ehrnström; Yacob Nehmé; [2023-06-29]
    Nyckelord :ESG investing; Abnormal returns; Sustainable investing and Financial performance;

    Sammanfattning : This report examines the relationship between ESG-scores and portfolio returns using the Fama-French five-factor and Carhart four-factor models. The data is collected from Refinitiv (2023) between 2003 and 2021 and consists of firms listed on the NYSE and NASDAQ stock exchange. LÄS MER

  3. 2. Comparison of High ESG Portfolio Performance in Germany and Switzerland

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Nino Shakulashvili; Saud Talic; [2023-06-29]
    Nyckelord :ESG; Portfolio Performance; Fama French; Carhart; Risk Factors; Value; Size; Momentum; Germany; Switzerland;

    Sammanfattning : This study focuses on the relationship between stock return performance and sustainability, the latter taking the form of the Environmental, Social, and Governance (ESG) framework. The paper provides a comparative setting in which stocks of companies headquartered in Germany and Switzerland are examined. LÄS MER

  4. 3. Exploring the Issues with ESG assessments in Investment Decision-Making : Insights from the Swedish Fund Market

    Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

    Författare :Victoria Engström Kindmark; Ellen Surtevall; [2023]
    Nyckelord :ESG assessment; ESG rating; issues; challenges; sustainable investing; investment decision; mutual funds; ESG-bedömning; ESG betyg; utmaningar; svårigheter; hållbara investeringar; investeringsbeslut; fonder;

    Sammanfattning : Sustainable investing has seen a significant increase in the past years and is continuing to gain momentum with the constant rise of awareness and concern of the climate crisis. It is necessary for modern mutual fund companies to conduct ESG assessments as it provides a comprehensive understanding of a firm's sustainability performance, and identifies potential risks and opportunities which lay ground for investment decisions. LÄS MER

  5. 4. Factor Investing and ESG Integration in Regime-switching Models- An Empirical Study on ESG Factor Integration Using Infinite Hidden Markov Models

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Arien Haghshenas; Martin Karim; [2022-06-29]
    Nyckelord :ESG; Hidden Markov Models; Factor investing; Machine learning; Portfolio construction; Regime-switching models;

    Sammanfattning : ESG investing is an active area of interest, both for the investment and academic communities. However, research is inconclusive on the financial benefits of integrating ESG factors in portfolio construction. LÄS MER

  7. 5. Parametric portfolio policies with ESG -There is no cost

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Raihan Hasan; Otilia Esping; [2022-06-29]
    Nyckelord :Sustainable investment; ESG; Parametric portfolio policy; Generalized autoregressive score GAS ;

    Sammanfattning : We 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. LÄS MER