Abstract
The main objective of this Master’ s thesis is to test whether the degree of (un)sustainability of a firm could be associated to a new risk factor that would explain asset returns in addition to the traditional three factors of the Fama-French asset pricing model.More precisely, I am going to analyze if, once we take into account market, size and value risks when pricing stocks, there is indeed a statistically significant risk premium associated to an extra ESG factor.
The core hypothesis we will test can therefore be summarized as: “The risk exposure to an ESG-related factor added to the classical Fama-French model is significantly different from zero”.
Date of Award | 8 Jun 2019 |
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Original language | English |
Awarding Institution |
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Supervisor | Jean-Yves Gnabo (Supervisor) & Sophie Bereau (Co-Supervisor) |
Keywords
- ESG
- cost of equity
- systainability