AbstractThe 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|
|Supervisor||Jean-Yves Gnabo (Supervisor) & Sophie Bereau (Co-Supervisor)|
- cost of equity
The impact of ESG on firms' cost of equity
Demanet, A. (Author). 8 Jun 2019
Student thesis: Master types › Master in Management Professional focus in Business Analysis & Integration