Effect of the transmission mechanism on Hungarian ESG stocks returns and risks

Kenese László Balázs (2023) Effect of the transmission mechanism on Hungarian ESG stocks returns and risks. Pénzügyi és Számviteli Kar. (Kéziratban)

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Absztrakt (kivonat)

Environmental, social and governance (ESG) assessment has received increasing attention over the years as sustainability has gradually become a central issue in society. ESG is one of the "products" that these movements have created and shaped the investment strategies in recent years. Thus, by applying ESG factors, we can define new valuation criteria for company stocks. But the question arises: if macroeconomic factors change, will the demand for ESG stocks decrease or not? Does it have a negative impact on returns or risk? To answer these questions, I have used the Capital Asset Pricing Model (CAPM) and the Fama&French three-factor model developed to evaluate the causal relationship between average return and stock prices such as Book to market ratio (B/M), standard return and size. Furthermore, my research was based on an ESG portfolio that I compiled, which included Hungarian companies that had a high ESG score or were operating in a greener industry. My calculations showed that the ESG portfolio outperformed the BUX index in average return most of the time and also showed lower volatility from 2018 to 2022. My calculations show that high ESG stocks can achieve more reasonable returns with lower risk and volatility when interest rate changes have taken place.

Intézmény

Budapesti Gazdasági Egyetem

Kar

Pénzügyi és Számviteli Kar

Tanszék

Pénzügy Tanszék

Tudományterület/tudományág

NEM RÉSZLETEZETT

Szak

Pénzügy és Számvitel

Konzulens(ek)

Mű típusa:	TDK dolgozat
Kulcsszavak:	ESG, Hungary, investment analysis, sustainability, Transmission mechanism
SWORD Depositor:	Archive User
Felhasználói azonosító szám (ID):	Archive User
Rekord készítés dátuma:	2024. Már. 22. 12:51
Utolsó módosítás:	2024. Már. 22. 12:51

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