Loading...
Citations
Altmetric:
Genre
Thesis/Dissertation
Date
2022
Advisor
Committee member
Group
Department
Business Administration/Finance
Permanent link to this record
Collections
Research Projects
Organizational Units
Journal Issue
DOI
http://dx.doi.org/10.34944/dspace/8281
Abstract
We 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.
Description
Citation
Citation to related work
Has part
ADA compliance
For Americans with Disabilities Act (ADA) accommodation, including help with reading this content, please contact scholarshare@temple.edu