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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | From sustainability to profitability: Using ESG ratings to predict stock returns |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 68 |
| Date | 2023 |
| Abstract Text | This thesis investigates the association between ESG scores and future stock returns by using a large sample of more than 48,000 stock-month observations on total returns and ESG scores for STOXX 600 constituents from 2015 to 2022. Three different methodological approaches were employed: a portfolio-level analysis, cross-sectional time series (panel) regressions, and a difference-in-differences approach exploiting the COVID-19 crisis during the first quarter of 2020. The findings do not indicate a positive predictive relationship. Rather, there is some evidence that high-ESG-score stocks underperform stocks with low ESG scores. |
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