Including an ESG factor in the fama French model: evidence from the S&P 500 index
Scuccimarra, Michela (A.A. 2022/2023) Including an ESG factor in the fama French model: evidence from the S&P 500 index. Tesi di Laurea in Quantitative methods for management, Luiss Guido Carli, relatore Marco Nicolosi, pp. 180. [Master's Degree Thesis]
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Abstract/Index
Ethically oriented finance. Globalisation and the economy. Sustainable development. The concept of liability in the financial sector. ESG rating. The theoretical context: from CAPM to fama-French model. The capital asset pricing model: basic assumptions and concept. The shift towards other economic models. Three factor model. Four factor model. Five factor model. Implementation of the ESG facyor in the fama-French 3-factor model. Data sample, data sources and selection, data treatment and screening. Construction of the SMB-HML factors. Construction of ESG risk factor. Construction of the portfolios on which to perform the regressions.
References
Bibliografia e sitografia: pp. 138-142.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Quantitative methods for management |
| Thesis Supervisor: | Nicolosi, Marco |
| Thesis Co-Supervisor: | Ramponi, Alessandro |
| Academic Year: | 2022/2023 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 24 Jun 2024 10:51 |
| Last Modified: | 24 Jun 2024 10:51 |
| URI: | https://tesi.luiss.it/id/eprint/39024 |
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