The Performance of ESG Integration Strategies. Development of an ESG Integration Methodology for EU Equity Portfolios

By Thomas Neuhofer

Master's Thesis from the year 2021 in the subject Business economics - Investment and Finance, grade: 1.0, University of Applied Sciences Nuremberg, language: English, abstract: In an era defined by increasing investor awareness of environmental and social impact, can sustainable investing truly deliver superior financial returns in the complex European Union equity market? This groundbreaking study dives deep into the heart of sustainable and responsible investing (SRI), rigorously examining the potential for integrating environmental, social, and governance (ESG) factors into EU equity portfolios to generate positive alpha. Unveiling a novel quantitative ESG integration strategy, this research meticulously analyzes whether strategically allocating capital to companies with high investments in financially material sustainability factors leads to enhanced risk-adjusted returns, challenging conventional investment paradigms. By constructing a materiality matrix leveraging Refinitiv ESG data and the Sustainability Accounting Standards Board's (SASB) framework, the study identifies and quantifies the specific ESG factors that truly impact financial performance across various industries. Beyond simply incorporating ESG scores, this research distinguishes itself by dissecting the impact of both material and immaterial ESG factors, providing a nuanced understanding of their respective roles in driving portfolio performance. Through rigorous statistical modeling, including the application of Fama-French three-, four-, and five-factor models, the study evaluates the alpha generated by portfolios constructed based on material ESG investments. The findings are then contextualized within the broader academic literature, comparing and contrasting the results with existing U.S.-focused studies and prominent works such as those by Khan, Serafeim, and Yoon (2016) and Henriksson, Livnat, Pfeifer, and Stumpp (2018). Furthermore, the robustness of the results is rigorously tested acr

• Format: Paperback
• Language: English
• ISBN: 3346506754
• ISBN13: 9783346506757
• Release Date: November 2021
• Publisher: Grin Verlag
• Length: 278 Pages
• Weight: 0.81 lbs.
• Dimensions: 0.6" x 5.8" x 8.3"