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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Sustainable Alpha? Backtesting ESG Momentum Trading Strategies in the Brazilian Market |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 91 |
| Date | 2023 |
| Abstract Text | This paper examines the effectiveness of environmental, social, and governance (ESG) momentum in trading Brazilian securities. It tests several trading strategies employ ing both top-decile and time-series momentum, including long-only, long-short, and reverse strategies, which invest in stocks with low ESG momentum. Brazilian results are then compared with those in Chinese, Indian, and South African markets, with overperformance seen in the Brazilian and South African markets and underperformance in Chinese and Indian markets. These results of this paper highlight the complex relationship between ESG momentum and stock returns, contributing insights to the ongoing debate on ESG investing efficacy. |
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