Essays about: "Risk Factor"

Showing result 6 - 10 of 1072 essays containing the words Risk Factor.

1. 6. Beyond Profits: Exploring the Investment Styles and Risk-Adjusted Returns of ESG-Driven Portfolios

   University essay from

   Author : Alexander Olsson; Jonathan Taimory; [2023-07-06]
   Keywords : Risk-adjusted Returns; Investment Styles; Environmental; Social and Governance ESG ;

   Abstract : This study uses daily data to examine how different ESG implementations affect performance and portfolio characteristics. With a non-homogenous view of how ESG investing is defined, ten different value-weighted portfolios are constructed. The geographical focus is the US market, with the S&P 500 total return index (SPXTR) as the screening universe. READ MORE

3. 7. ESG and Fund Performance Comparing Funds with Different Strategic Benchmarks

   University essay from

   Author : Jesper Carlsson; Erik Olofsson; [2023-07-03]
   Keywords : ESG; Efficient Market Hypothesis; Risk-Adjusted Return; Strategic Benchmarks;

   Abstract : This thesis aims to identify if there is a positive relationship between ESG and fund performance, and if this relationship is different depending on the strategic benchmark of the funds and how they differ between the given strategic benchmark. Four groups of funds connected to a specific strategic benchmark are divided based on their ESG score into a high ESG score group and low ESG score group. READ MORE

4. 8. The Sustainable Era - The Excess Return on Swedish Sustainable Global Equity Funds

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Kristoffer Holmgren; Måns Hurtigh; [2023-07-03]
   Keywords : Fama-French; ESG; Morningstar; Morningstar Globe Rating; funds; global equity funds; sustainability; excess return;

   Abstract : This thesis explores the relationship between the performance of Swedish global equity funds and the level of sustainability, as measured by the Morningstar Globe Rating, using a Fama-French six-factor model, globe rating categories, and time effects. Treating the Morningstar Globe Rating as a time-invariant variable, a sample of 80 Swedish global equity funds are divided into two sustainability groups, ‘Low’ and ‘High’, grouping funds with 1-3 globes into a reference group. READ MORE

5. 9. The Greenfee of Beta - Unraveling the Impact of Sustainability on Systematic Risk

   University essay from

   Author : Johannes Sigurdson; Chris Teow; [2023-06-30]
   Keywords : ;

   Abstract : This paper unravels the impact of sustainability on systematic risk. Literature suggests that enhanced sustainability reduces companies' systematic risk, thanks to e.g. product differentiation, a broader spectrum of investors holding the assets, or simply because there exists a specific ESG factor. READ MORE

6. 10. Exploring the Idiosyncratic Volatility Anomaly in the Swedish Stock Market: An Empirical Analysis of its Impact on Returns

   University essay from Göteborgs universitet/Graduate School

   Author : Anton Ahlqvist; Walter Uong; [2023-06-29]
   Keywords : ;

   Abstract : We examine the cross-sectional relationship between idiosyncratic volatility relative to the Fama-French three factor model and expected stock returns. We find that portfolios containing the firms with the lowest idiosyncratic risk offers excess returns in relation to the prediction of the Fama-French three factor model, while those with the highest idiosyncratic risk do not. READ MORE