Feedback

HEC-Ecole de gestion de l'Université de Liège
HEC-Ecole de gestion de l'Université de Liège
MASTER THESIS
VIEW 93 | DOWNLOAD 128

ESG and the cross-section of expected return

Download
Cloostermans, Bryan ULiège
Promotor(s) : Lambert, Marie ULiège
Date of defense : 5-Sep-2022/10-Sep-2022 • Permalink : http://hdl.handle.net/2268.2/15987
Details
Title : ESG and the cross-section of expected return
Author : Cloostermans, Bryan ULiège
Date of defense  : 5-Sep-2022/10-Sep-2022
Advisor(s) : Lambert, Marie ULiège
Committee's member(s) : Clerc, Pierrick ULiège
Gathon, Henry-Jean ULiège
Language : English
Number of pages : 50
Discipline(s) : Business & economic sciences > Finance
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences économiques, orientation générale, à finalité spécialisée en macroeconomics and finance
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[en] ESG is increasingly becoming a topic of interest for research and investors. While some may be interested to invest in ESG for ethical reasons, some may be more interested in capturing excess returns from this class of asset. In any case, both individuals are interested in the impact of ESG implementation on the performance of stocks. This study analyzes the impact of green scores (Environmental pillar) on stocks’ performance and shows that in Europe and using Refinitiv dataset, brown stocks tend to outperform. Following Pastor et al. (2021) methodology and using Ardia et al. (2020) climate concern index, I show that unexpected changes in investor climate concern do not have an impact on the portfolio level but positively impact green stocks’ performance at the stock level.


File(s)

Document(s)

File
Access Bryan Cloostermans - Master Thesis.pdf
Description:
Size: 578.6 kB
Format: Adobe PDF

Author

  • Cloostermans, Bryan ULiège Université de Liège > Master sc. éco., or. gén., à fin.

Promotor(s)

Committee's member(s)

  • Clerc, Pierrick ULiège Université de Liège - ULiège > HEC Liège : UER > UER Economie : Macroéconomie et pensée économique
    ORBi View his publications on ORBi
  • Gathon, Henry-Jean ULiège Université de Liège - ULiège > HEC Liège : UER > UER Economie : Economie générale et gestion publique
    ORBi View his publications on ORBi
  • Total number of views 93
  • Total number of downloads 128










All documents available on MatheO are protected by copyright and subject to the usual rules for fair use.
The University of Liège does not guarantee the scientific quality of these students' works or the accuracy of all the information they contain.