The Impact of ESG Screening on Portfolio Performance

• Main Authors: Yan-cheng Li, 黎彥成
• Other Authors: Tzu-kuan Chiu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/48944786491185447182

碩士 === 國立中央大學 === 財務金融研究所 === 99 === By using the single-factor model and the multi-factor model to calculate the abnormal return of Dow Jones Sustainability Index United States (DJSI US), the goal of this study is to examine whether the portfolio performance of investor will be affected by the adoption of ESG (Environment, Social and Governance) criteria in the stock-picking process. The results of this study find that no matter what kind of models have been used, single-factor or multi-factor, there have no abnormal returns in DJSI US. Even after considers the possible structure change which caused by US Subprime Mortgage Crisis in 2007, the results are still unchanged. However, this study finds that when we consider a longer period which consists one or more big negative event, then the systematic risk of DJSI US will be less than the level of market portfolio. Therefore, the conclusion of this study is that if investors use the ESG criteria to choose stocks, then the portfolio performance will have same level compare to the market portfolio. However, it will have less systematic risk than the market portfolio, and receive more stable portfolio performance.