Show simple item record

dc.contributor.advisorScott, Jonathan A.
dc.creatorZhao, Zhimei
dc.date.accessioned2023-01-12T19:14:26Z
dc.date.available2023-01-12T19:14:26Z
dc.date.issued2022
dc.identifier.urihttp://hdl.handle.net/20.500.12613/8310
dc.description.abstractWe uses ESG thematic funds to conduct a detailed statistical profile of their operating status in the Chinese market, including the size, the proportion of different investment types, and the characteristics of return and risk. The OLS model is used to empirically analyze the applicability of the Fama-French five-factor model in the Chinese mutual fund market. Based on the a ESG rating as a starting point, we study the profit improvement mechanism and risk-return characteristics of the ESG portfolios. The main findings are that the five-factor model better explained the excess returns of ESG thematic funds during the entire sample period of the study and can be used for attribution analysis of the performance. It shows that, despite the poor performance of ESG thematic funds in the market during certain periods, there is no significant difference between the performance of ESG thematic funds and the market during the economic crisis. The ROEs and dividend rates of the ESG high-scoring groups are both higher than those of the ESG low-scoring groups. This shows that companies with higher ESG scores have higher and more sustainable profitability and greater willingness to pay dividends. Furthermore, the ESG high-scoring group has better returns and lower risks.
dc.format.extent67 pages
dc.language.isoeng
dc.publisherTemple University. Libraries
dc.relation.ispartofTheses and Dissertations
dc.rightsIN COPYRIGHT- This Rights Statement can be used for an Item that is in copyright. Using this statement implies that the organization making this Item available has determined that the Item is in copyright and either is the rights-holder, has obtained permission from the rights-holder(s) to make their Work(s) available, or makes the Item available under an exception or limitation to copyright (including Fair Use) that entitles it to make the Item available.
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectFinance
dc.subjectESG rating
dc.subjectESG thematic fund
dc.subjectFive-factor model
dc.subjectPerformance
dc.subjectRisk return
dc.titleTHE PERFORMANCE OF ESG THEMATIC FUND IN CHINA AND ESG RATINGS
dc.typeText
dc.type.genreThesis/Dissertation
dc.contributor.committeememberBakshi, Xiaohui Gao
dc.contributor.committeememberNaveen, Lalitha
dc.contributor.committeememberMudambi, Ram, 1954-
dc.description.departmentBusiness Administration/Finance
dc.relation.doihttp://dx.doi.org/10.34944/dspace/8281
dc.ada.noteFor Americans with Disabilities Act (ADA) accommodation, including help with reading this content, please contact scholarshare@temple.edu
dc.description.degreeD.B.A.
dc.identifier.proqst15055
dc.creator.orcid0000-0003-2973-6647
dc.date.updated2023-01-06T17:25:06Z
refterms.dateFOA2023-01-12T19:14:27Z
dc.identifier.filenameZhao_temple_0225E_15055.pdf


Files in this item

Thumbnail
Name:
Zhao_temple_0225E_15055.pdf
Size:
897.8Kb
Format:
PDF

This item appears in the following Collection(s)

Show simple item record