Awareness of sustainability risks and opportunities has significantly increased worldwide over the past few decades and it is reflected in the strong increase in the amount of SRI assets under management as well as in the development of new SRI vehicles and strategies. This thesis focuses on a relatively new SRI strategy: the ESG Momentum strategy. While most SRI approaches are based on the relationship between ESG scores and financial performance, this strategy focuses on the change in ESG ratings rather than on their absolute ESG scores. In this way, it tries to capture the excess returns that are not yet individuated by the traditional SRI screening strategies. Europe is at the forefront of global SRI development, while the US is experiencing strong growth in the last 10-15 years. Given the differences in terms of SRI development in these markets, this study contributes to the limited EGS Momentum literature investigating how the markets’ reaction to companies’ non-financial information differs in the Eurozone and in the US. This paper focuses not only on the traditional ESG Momentum strategy, but also on the Positive ESG Momentum strategy, which only considers stocks with increasing ESG ratings. No main differences have been found in the market’s reaction to ESG information between Eurozone and the US market. However, this thesis shows that financial markets are not agnostic to companies’ changes in the ESG profile when pricing securities. Indeed, an improvement in the ESG profile of a company leads to an increase in the valuation levels and stock prices in both the European and the US markets.
La consapevolezza dei rischi e delle opportunità connesse alla sostenibilità è aumentata significativamente a livello globale negli ultimi decenni e si riflette nel forte incremento del patrimonio SRI in gestione e nello sviluppo di nuovi veicoli e strategie SRI. Questa tesi si concentra su una strategia SRI relativamente nuova: l’ESG Momentum strategy. Mentre la maggior parte degli approcci SRI si basa sulla relazione tra i rating ESG e la performance finanziaria, questa strategia si concentra sulla variazione dei rating ESG e non sui rating ESG assoluti. In questo modo, cerca di catturare gli eccessi di rendimento che non sono ancora stati individuati dalle tradizionali strategie di screening SRI. L'Europa è leader a livello globale nello sviluppo del mercato SRI, mentre gli Stati Uniti stanno registrando una crescita notevole negli ultimi 10-15 anni. Date le diversità in termini di sviluppo SRI di questi mercati, questa tesi contribuisce alla limitata letteratura sull’ESG Momentum, analizzando come la reazione dei mercati alle informazioni non-finanziarie delle aziende differisce nell’Eurozona e negli Stati Uniti. Il presente lavoro si concentra non solo sulla tradizionale strategia ESG Momentum, ma anche sulla strategia Positive ESG Momentum, composta esclusivamente da titoli con rating ESG crescente. Non sono state riscontrate differenze sostanziali nella reazione del mercato alle informazioni ESG tra l'Eurozona e il mercato statunitense. Tuttavia, questa tesi dimostra che i mercati finanziari non sono agnostici rispetto ai cambiamenti del profilo ESG delle aziende quando determinano il prezzo dei titoli. Infatti, il miglioramento del profilo ESG di un'azienda porta ad un aumento dei livelli di valutazione e dei prezzi dei titoli sia nel mercato europeo che in quello statunitense.
ESG Momentum Strategy: un'analisi dei mercati azionari dell'Eurozona e degli Stati Uniti
FISCHETTI, GRAZIANA
2021/2022
Abstract
Awareness of sustainability risks and opportunities has significantly increased worldwide over the past few decades and it is reflected in the strong increase in the amount of SRI assets under management as well as in the development of new SRI vehicles and strategies. This thesis focuses on a relatively new SRI strategy: the ESG Momentum strategy. While most SRI approaches are based on the relationship between ESG scores and financial performance, this strategy focuses on the change in ESG ratings rather than on their absolute ESG scores. In this way, it tries to capture the excess returns that are not yet individuated by the traditional SRI screening strategies. Europe is at the forefront of global SRI development, while the US is experiencing strong growth in the last 10-15 years. Given the differences in terms of SRI development in these markets, this study contributes to the limited EGS Momentum literature investigating how the markets’ reaction to companies’ non-financial information differs in the Eurozone and in the US. This paper focuses not only on the traditional ESG Momentum strategy, but also on the Positive ESG Momentum strategy, which only considers stocks with increasing ESG ratings. No main differences have been found in the market’s reaction to ESG information between Eurozone and the US market. However, this thesis shows that financial markets are not agnostic to companies’ changes in the ESG profile when pricing securities. Indeed, an improvement in the ESG profile of a company leads to an increase in the valuation levels and stock prices in both the European and the US markets.È consentito all'utente scaricare e condividere i documenti disponibili a testo pieno in UNITESI UNIPV nel rispetto della licenza Creative Commons del tipo CC BY NC ND.
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https://hdl.handle.net/20.500.14239/2539