HOW IS THE ESG FACTOR RELATED TO TRADITIONAL FACTORS?
| Thesis title: | HOW IS THE ESG FACTOR RELATED TO TRADITIONAL FACTORS? |
|---|---|
| Author: | Ngo, Tam Thi |
| Thesis type: | Diploma thesis |
| Supervisor: | Zárybnická Žárová, Marcela |
| Opponents: | - |
| Thesis language: | English |
| 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 factor is added into base models. We observe that the higher ESG-scored portfolio doesnot lead to the better return compared to the lower ESG-scored portfolio. The analysis of assetpricing models on the portfolio level shows that the ESG factor does not enhance the explanatorypower of traditional models. The analysis on single stocks illustrates that ESG factor can explainexpected return better higher than CMA only, but worse than MKT, SMB+HML, WML, RMWand RMW+CMA. |
| Keywords: | factor; esg factor; single stock |
| Thesis title: | HOW IS THE ESG FACTOR RELATED TO TRADITIONAL FACTORS? |
|---|---|
| Author: | Ngo, Tam Thi |
| Thesis type: | Diplomová práce |
| Supervisor: | Zárybnická Žárová, Marcela |
| Opponents: | - |
| Thesis language: | English |
| 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 factor is added into base models. We observe that the higher ESG-scored portfolio doesnot lead to the better return compared to the lower ESG-scored portfolio. The analysis of assetpricing models on the portfolio level shows that the ESG factor does not enhance the explanatorypower of traditional models. The analysis on single stocks illustrates that ESG factor can explainexpected return better higher than CMA only, but worse than MKT, SMB+HML, WML, RMWand RMW+CMA. |
| Keywords: | factor; esg factor; single stock |
Information about study
| Study programme: | Finance and Accounting |
|---|---|
| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Finance and Accounting |
| Department: | Deparment of Finacial Accounting and Auditing |
Information on submission and defense
| Date of assignment: | 1. 1. 2020 |
|---|---|
| Date of submission: | 1. 9. 2020 |
| Date of defense: | 15. 9. 2020 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/73905/podrobnosti |