| dc.description.abstract | In this thesis, we aim to untangle the lack of consensus among previous studies on the
subject of ESG investing. We replicate four articles that focus on the Global, U.S. and
European markets, at different time periods, and following different methodologies. These
articles are then the basis of a meta-analysis where we consider three main explanatory
factors, namely sample selection, time period and methodology. We find that the sample
selection of a study affects obtained results. The Global sample exhibits more negative
results in terms of the relationship between ESG and financial performance than the
other two samples, and the U.S. seem to lag behind Europe. Further, we find that the
time period in focus can lead to differing results. Our study exhibits more negative
results in previous years compared to a more recent time period, suggesting that ESG
investing is becoming increasingly more beneficial. Related to methodology, we find that
the choice of weight allocation in portfolios, namely value-weighted vs equal-weighted,
affect obtained results. Equal-weighted ESG portfolios seem to perform poorer. Lastly,
we remark that the choice of ESG score provider might impact the results of a study.
In the replications where we substitute the original ESG data with a different provider,
we obtain different results than the original study. Thus, we conclude that the lack of
consensus within previous research on the subject of ESG investing, can be explained by
the sample selection, the time period in focus, the methodology used, and the ESG score
provider. | en_US |
