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Abstract(s)
O objetivo deste trabalho é avaliar a performance de um portfólio de ações constituído por empresas com elevados padrões de responsabilidade ambiental, e adicionalmente perceber se investir com base neste critério conduz a um retorno anormal quando comparado com investir num portfólio de empresas com menores práticas ambientais ou num portfólio de empresas sem consciência ambiental. Esta avaliação é realizada para o mercado global e os mercados desenvolvidos e emergentes, sendo que ainda se estuda se existem alterações das performances em períodos de recessão. Para implementar a análise, foram construídos três portfólios de ações com base em empresas de todo o mundo do ranking lançado pelo CDP em 2019, que diferem no nível de responsabilidade ambiental das empresas que os compõem. Posteriormente, cada um dos portfólios foi separado em dois: um composto por ações de países desenvolvidos; outro composto por ações de países emergentes. Para o período entre 2000-2019, partindo os resultados em períodos de expansão e crise, descobriu-se com base no modelo de Carhart (1997) e no modelo de Fama e French (2015), que os portfólios de ações mais ambientalmente responsáveis (global, desenvolvido e emergente) apresentam retornos anormais positivos em períodos de expansão, retornos estes em alguns casos superiores em períodos de recessão. Mais, estes portfólios verdes (global, desenvolvido e emergente) quando compostos por retornos value-weighted apresentam performances semelhantes à dos outros portfólios em períodos de expansão, performance esta que se mantém em períodos de crise, indicando que não há penalidade por se investir com base em critérios ambientais elevados.
The purpose of this dissertation is to evaluate the performance of a stock portfolio composed by companies with high standards of environmental responsibility, and additionally to realize if investing based on this criterion leads to an abnormal return when compared to investing in a portfolio of companies with less environmental practices or in a portfolio of companies without environmental awareness. This valuation is carried out for the global market, and the developed and emerging markets. It is still explored whether there are changes of the performance in periods of recession. To implement the analysis, three portfolios were built based on companies from around the world of the ranking launched by CDP in 2019, which differ in the level of environmental responsibility of the companies that compose them. Subsequently, each portfolio was separated in two: one composed of stocks from developed countries; another composed of stocks of emerging countries. For the period between 2000-2019, dividing the results into periods of crisis and expansion, it was found, based on the Carhart (1997) model and Fama and French (2015) model, that the most environmentally responsible stock portfolios (global, developed and emerging) present positive abnormal returns in periods of expansion, which in some cases are higher in periods of crisis. Furthermore, these green portfolios (global, developed and emerging) when composed of value-weighted stock returns present performances similar to those of other portfolios in periods of expansion, a performance that remains in periods of crisis. This indicates that there is no penalty for investing based on high environmental criteria.
The purpose of this dissertation is to evaluate the performance of a stock portfolio composed by companies with high standards of environmental responsibility, and additionally to realize if investing based on this criterion leads to an abnormal return when compared to investing in a portfolio of companies with less environmental practices or in a portfolio of companies without environmental awareness. This valuation is carried out for the global market, and the developed and emerging markets. It is still explored whether there are changes of the performance in periods of recession. To implement the analysis, three portfolios were built based on companies from around the world of the ranking launched by CDP in 2019, which differ in the level of environmental responsibility of the companies that compose them. Subsequently, each portfolio was separated in two: one composed of stocks from developed countries; another composed of stocks of emerging countries. For the period between 2000-2019, dividing the results into periods of crisis and expansion, it was found, based on the Carhart (1997) model and Fama and French (2015) model, that the most environmentally responsible stock portfolios (global, developed and emerging) present positive abnormal returns in periods of expansion, which in some cases are higher in periods of crisis. Furthermore, these green portfolios (global, developed and emerging) when composed of value-weighted stock returns present performances similar to those of other portfolios in periods of expansion, a performance that remains in periods of crisis. This indicates that there is no penalty for investing based on high environmental criteria.
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Keywords
Avaliação da performance de portfólios Investimentos socialmente responsáveis Investimentos verdes Empresas verdes Portfolio performance valuation Social responsible investments Green investments Green firms