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Advisor(s)
Abstract(s)
Nesta dissertação, avalio a Performance de um Portefólio de ativos de investimento socialmente responsável da indústria têxtil, incluindo fashion e apparel. A extensa literatura existente sobre Socially Responsible Investment (SRI) não aborda até ao momento a avaliação de um portefólio de uma só indústria, em especial desta indústria. Com este estudo, procuro avaliar se um portefólio de empresas high-rated, ao nível do critério Environmental, Social and Governance (ESG), permite aos investidores obter retornos anormais no mercado Europeu e dos Estados Unidos da América. Para responder a esta questão, construí dois portefólios (Equally-weighted e Value-weighted) com base no critério ESG da base de dados ASSET4 do Thomson Reuters, e avaliei a performance destes para o período 2010 a 2019. Os resultados revelam-se insatisfatórios, pois tanto o portefólio Equally-weighted como o Value-weighted demonstraram que a estratégia com base no critério ESG não permite obter retornos anormais.
In this dissertation, I evaluate the performance of a portfolio of socially responsible investment assets in the textile, including fashion and apparel industry. The extensive existing literature on Socially Responsible Investment (SRI) does not address the evaluation of a single industry portfolio so far, especially this industry. With this study, I try to assess whether a portfolio of high-rated companies, at the level of the Environmental, Social and Governance (ESG) criteria, allows investors to obtain abnormal returns in the European and United States markets. To answer this question, I built two portfolios (Equally-weighted and Value-weighted) based on the ESG criterion of the Thomson Reuters ASSET4 database, and evaluated their performance for the period 2010 to 2019. The results are unsatisfactory, as both the Equally-weighted and the Value-weighted portfolio demonstrated that the strategy based on the ESG criterion does not show abnormal returns to be obtained.
In this dissertation, I evaluate the performance of a portfolio of socially responsible investment assets in the textile, including fashion and apparel industry. The extensive existing literature on Socially Responsible Investment (SRI) does not address the evaluation of a single industry portfolio so far, especially this industry. With this study, I try to assess whether a portfolio of high-rated companies, at the level of the Environmental, Social and Governance (ESG) criteria, allows investors to obtain abnormal returns in the European and United States markets. To answer this question, I built two portfolios (Equally-weighted and Value-weighted) based on the ESG criterion of the Thomson Reuters ASSET4 database, and evaluated their performance for the period 2010 to 2019. The results are unsatisfactory, as both the Equally-weighted and the Value-weighted portfolio demonstrated that the strategy based on the ESG criterion does not show abnormal returns to be obtained.
Description
Keywords
Portfolio Performance Evaluation Socially responsible investment Environmental Social and governance