The impact of ESG on firms' cost of equity

  • Anais Demanet

Student thesis: Master typesMaster in Management Professional focus in Business Analysis & Integration


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 Award8 Jun 2019
Original languageEnglish
Awarding Institution
  • University of Namur
SupervisorJean-Yves Gnabo (Supervisor) & Sophie Bereau (Co-Supervisor)


  • ESG
  • cost of equity
  • systainability

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