HOW IS THE ESG FACTOR RELATED TO TRADITIONAL FACTORS? – Tam Thi Ngo
Tam Thi Ngo
Diplomová práce
HOW IS THE ESG FACTOR RELATED TO TRADITIONAL FACTORS?
HOW IS THE ESG FACTOR RELATED TO TRADITIONAL FACTORS?
Anotace:
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 …víceAbstract:
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 …více
Jazyk práce: angličtina
Datum vytvoření / odevzdání či podání práce: 1. 1. 2020
Identifikátor:
http://www.vse.cz/vskp/eid/81707
Obhajoba závěrečné práce
- Obhajoba proběhla 15. 9. 2020
- Vedoucí: Marcela Zárybnická Žárová
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Instituce archivující a zpřístupňující práci: Vysoká škola ekonomická v Prazehttp://www.vse.cz/vskp/eid/81707
Vysoká škola ekonomická v Praze
Magisterský studijní program:
Finance and Accounting
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