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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Analyzing the Effects of ESG Exclusion Strategies: Is the Lower ESG Risk-Exposure Associated with Lower Returns? Is the Higher Risk Due to Less Diversification Compensated by Higher Returns? |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 96 |
| Date | 2023 |
| Abstract Text | This thesis examines the risk-return attributes of portfolios screened for ESG factors against those of unscreened portfolios. Key performance indicators are utilized in conjunction with multi-factor models, including the CAPM, Fama-French, and the Carhart models. An ESG factor is then introduced to quantify the ESG premium. The empirical results offer a nuanced perspective: ESG screening neither conclusively reduces portfolio risk nor unambiguously affects diversification. However, the study detects a statistically significant ESG premium, particularly during crises such as the COVID-19 pandemic or the Ukraine conflict. Furthermore, it suggests that ESG-screened portfolios display comparable resilience to their unscreened counterparts during global crises. |
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