| dc.description.abstract | This thesis investigates if investing in European stocks based on Environmental,
Social, and Governance (ESG) scores can generate abnormal
returns from 2011 to 2021. By performing positive, best-in-class,
and negative screening approaches, we construct a long-short strategy
going long the 10% top-rated firms and short the 10% bottom-rated
firms. Similar to Kempf and Osthoff (2007) and Statman and Glushkov
(2008), we employ the Carhart 4-factor model and further extend with
a Fama-French 5-factor, including the momentum model. Overall, we
find evidence that the long-short strategy achieves negative abnormal
return for the positive, best-in-class, and negative screen. Additionally,
we find no evidence that high-rated ESG firms yield lower systematic
risk. | en_US |
