Les stratégies ISR apportent-elles une meilleure performance que leurs opposés : analyse de portefeuilles

Abstract

Increase of the popularity of ESG criteria has helped value-driven investors evaluate the responsibility level of potential investments. However, despite a significant amount of studies on the subject, it is still unclear whether Socially Responsible Investment can lead to positive abnormal returns or not. This thesis will contribute to the literature by trying to determine if a positive link can be found on the European market over the period 2004-2018. The Thomson Reuters Eikon database will be used to retrieve various ESG- and financial data for the 1100 companies analyzed. These firms will then be classified into high and low portfolios with different cut-off levels. The rankings are based on four different screening methods: ESG, individual Environmental, Social and Governance scores, Best-In-Class, and ESG-score per country. The performance of these portfolios will then be evaluated by using the Fama-French 5 factors (2015), without and with the momentum factor. The results of the strategy taking a long position in high ESG-rated portfolios and a short position in low ESG-rated portfolios brings significant negative returns. The same is observed when the BIC and Social pillar screening methods are adopted. The only exception arises when using Environmental screen on a limited number of companies, which leads to significant positive abnormal returns. Results also show significant differences between countries, inducing that there exists a country-factor influencing SRI performance. However, these results must be interpreted carefully as they are only valid for the database hereinabove. Moreover, despite an improvement of the availability of ESG-data, there is still a significant number of companies that cannot be included in portfolios because of missing data.