Are ESG issues also an explanatory factor for volatility in returns? Evidence with the integration of a climate factor in the Fama-French model.

By : Jonckheere, Thomas [UCL] Directed by : Iania, Leonardo [UCL]

The aim of the master thesis is to analyze whether the issues and news related to ESG (Environment, Social, Governance) impact the valuations on the financial markets and consequently the volatility. A special focus will be put on environmental issues and thus, an integration of a climate factor in the Fama-French model will complete the research.

Access type : Accès restreint
Year : 2022
Keywords : ESG, climate, Fama-French, Finance, Risk
Language : Anglais
Faculty : Louvain School of Management
Degree : Master [120] en sciences de gestion, à finalité spécialisée
Bibliographic reference Jonckheere, Thomas. Are ESG issues also an explanatory factor for volatility in returns? Evidence with the integration of a climate factor in the Fama-French model.. Louvain School of Management, Université catholique de Louvain, 2022. Prom. : Iania, Leonardo.
Permanent URL http://hdl.handle.net/2078.1/thesis:36681