This study aims to investigate the causal relationship between environmental, social, and governance (ESG) ratings, portfolio performance, and risk, using a network analysis approach. Specifically, we will use correlation and pairwise Granger causality to construct the network, which will capture the interrelationships between the ESG components and their relationship with portfolio returns and risk. The dataset will consist of ESG ratings, portfolio returns, and risk for a sample of companies over a specific period. We will use network analysis techniques to identify the key nodes and edges in the network, as well as community detection algorithms to identify groups of nodes that are tightly connected to each other. This study is expected to provide valuable insights into the drivers of investment performance and risk from an ESG perspective, and inform investment decisions based on these factors.

Causal relationships between Environmental, Social and Governance (ESG) ratings and portfolio allocation: A network analysis approach

Harrison, Benjamin Owusu
2023/2024

Abstract

This study aims to investigate the causal relationship between environmental, social, and governance (ESG) ratings, portfolio performance, and risk, using a network analysis approach. Specifically, we will use correlation and pairwise Granger causality to construct the network, which will capture the interrelationships between the ESG components and their relationship with portfolio returns and risk. The dataset will consist of ESG ratings, portfolio returns, and risk for a sample of companies over a specific period. We will use network analysis techniques to identify the key nodes and edges in the network, as well as community detection algorithms to identify groups of nodes that are tightly connected to each other. This study is expected to provide valuable insights into the drivers of investment performance and risk from an ESG perspective, and inform investment decisions based on these factors.
2023-07-10
File in questo prodotto:
File Dimensione Formato  
892405-1285024.pdf

accesso aperto

Tipologia: Altro materiale allegato
Dimensione 2.61 MB
Formato Adobe PDF
2.61 MB Adobe PDF Visualizza/Apri

I documenti in UNITESI sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.14247/15157