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Master's thesis

HOW IS THE ESG FACTOR RELATED TO TRADITIONAL FACTORS?

HOW IS THE ESG FACTOR RELATED TO TRADITIONAL FACTORS?
Abstract:
This master thesis discusses ESG effect on the portfolio performance and how this factor is relatedto conventional factors. First, ESG-related portfolios and the ESG factor portfolio are constructedbased on ESG score. Second, return, standard deviation and Sharpe ratio are calculated to presentportfolio performance. Finally, 12 asset pricing models are run on the portfolio and single-stockslevel. ESG …more
Abstract:
This master thesis discusses ESG effect on the portfolio performance and how this factor is relatedto conventional factors. First, ESG-related portfolios and the ESG factor portfolio are constructedbased on ESG score. Second, return, standard deviation and Sharpe ratio are calculated to presentportfolio performance. Finally, 12 asset pricing models are run on the portfolio and single-stockslevel. ESG …more
 

Keywords

factor esg factor single stock

Keywords

factor esg factor single stock
 
Language used: English
Date on which the thesis was submitted / produced: 1. 1. 2020
Identifier: http://www.vse.cz/vskp/eid/81707

Thesis defence

  • Date of defence: 15. 9. 2020
  • Supervisor: Marcela Zárybnická Žárová

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http://www.vse.cz/vskp/eid/81707