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Abstract(s)
O principal objetivo deste Trabalho Final de Mestrado foi o de mensurar a performance de portefólios construídos com base em pontuações de responsabilidade social, desenhados de forma a replicar uma estratégia long-short, de 2005 a 2019, em quatro regiões - América do Norte, Japão, Ásia Pacífico e Europa - e em diferentes estados de mercado. Os portefólios foram construídos utilizando pontuações de responsabilidade social em quatro dimensões - Social, Gestão Corporativa, Ambiental e uma pontuação média - e os portefólios melhor e pior classificados foram subtraídos, criando portefólios-diferença.
Quatro modelos (um de um único fator e três multi-factor) foram utilizados para estimar medidas de performance dos portefólios, tendo sido observada tanto uma indiferença entre as performances de portefólios bem classificados versus portefólios menos bem classificados, como uma estatisticamente significante inferior performance de portefólios bem classificados em termos de responsabilidade social quando comparados com os seus menos bem classificados pares, especialmente na América do Norte e no Japão. Os únicos sinais de uma performance superior significante foram observados na Europa em períodos de recessão, em certas dimensões de responsabilidade social, como a Ambiental e de Gestão Corporativa, e de acordo com certos percentis.
This dissertation aims at measuring socially responsible built portfolios’ performances, designed to replicate a long-short strategy, from 2005 to 2019, across four regions - North America, Japan, Asia Pacific and Europe - and different market states. The portfolios were built using ESG scores in four dimensions - Social, Corporate Governance, Environmental, and a computed average score -, and the long-short strategy was designed by taking ESG high-ranked and low-ranked portfolios and subtracting them, creating difference-portfolios. Four models (one single-factor model and three multi-factor models) were used to estimate measures of portfolios’ performances. The main observed pattern was either of indifference between high-ranked portfolios’ returns and their low-ranked counterparts, or significant underperformance, in North America and Japan regions. The only overperformance signs were spotted in European portfolios in bear markets, particularly in ESG dimensions, such as the Environmental and Corporate Governance dimensions, and under specific cut-off levels.
This dissertation aims at measuring socially responsible built portfolios’ performances, designed to replicate a long-short strategy, from 2005 to 2019, across four regions - North America, Japan, Asia Pacific and Europe - and different market states. The portfolios were built using ESG scores in four dimensions - Social, Corporate Governance, Environmental, and a computed average score -, and the long-short strategy was designed by taking ESG high-ranked and low-ranked portfolios and subtracting them, creating difference-portfolios. Four models (one single-factor model and three multi-factor models) were used to estimate measures of portfolios’ performances. The main observed pattern was either of indifference between high-ranked portfolios’ returns and their low-ranked counterparts, or significant underperformance, in North America and Japan regions. The only overperformance signs were spotted in European portfolios in bear markets, particularly in ESG dimensions, such as the Environmental and Corporate Governance dimensions, and under specific cut-off levels.
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Keywords
Avaliação de performance de portefólios Investimentos socialmente responsáveis Responsabilidade social corporativa Dimensões de responsabilidade social Estados de mercado Portfolio performance evaluation Socially responsible investments Corporate social responsibility ESG dimensions Market states