ESG investing and portfolio returns in the European Union : outperformance or underperformance?
Επενδύσεις ESG και αποδόσεις χαρτοφυλακίου στην Ευρωπαϊκή Ένωση : υπεραπόδοση ή υποαπόδοση;
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Keywords
Fund ; Mutual fund ; ESG ; PerformanceAbstract
This thesis examines whether the integration of ESG (Environmental, Social, and Governance) criteria into UCITS portfolios in the European Union affects their risk-adjusted performance. The main research question is whether ESG UCITS exhibit different performance compared to conventional (Non-ESG) UCITS, without presuming in advance whether this difference is positive or negative. The study begins with a literature review on investment funds, investment strategies, and performance evaluation methods. It also analyzes the evolution of ESG investing from socially responsible investing (SRI) into a modern tool for risk management and value creation. The empirical literature generally suggests no clear outperformance or underperformance of ESG investments, but rather a neutral effect on returns. Methodologically, the research is based on a quantitative comparative analysis of 20 UCITS funds (10 ESG and 10 conventional) over the period 2020–2024, using monthly return data. Performance is mainly evaluated through the Sharpe ratio, along with other metrics such as returns and volatility. Statistical tests are applied to compare the mean performance between the two groups. The empirical results investigate whether there is a statistically significant difference in risk-adjusted performance between ESG and non-ESG funds, as well as the relationship between ESG characteristics and performance components (returns and risk). Overall, the thesis contributes to understanding whether ESG investing constitutes an economically efficient strategy and provides useful insights for investors, analysts, and researchers in the European context.
Postgraduate Studies Programme
Δίκαιο και ΟικονομίαDepartment
Σχολή Οικονομικών, Επιχειρηματικών και Διεθνών Σπουδών. Τμήμα Οργάνωσης και Διοίκησης ΕπιχειρήσεωνNumber of pages
62Language
EnglishCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα