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Navigating ESG Impact: A Comparative Study of Investment Strategies within the DAX Index companies

Modzelewski, Filip LU and Szymanowska, Aleksandra LU (2024) DABN01 20241
Department of Economics
Department of Statistics
Abstract (Swedish)
This thesis examines the relationship between Environmental Social and Governance
(ESG) factors and investment strategies. Specifically, it focuses on how ESG scores
can influence investment decisions within companies listed on the DAX Index, the
benchmark German stock market index. Using Granger causality on individual companies from the DAX and on portfolios built on the ESG score of companies with
average stock market price performance created for the paper, we will focus on the
discovery of temporal dependency. Going further in the portfolios created based
on prior ESG performance, we will specifically investigate the differences between
their ROI, inequality using the Gini coefficient, and predictive power using ensemble
... (More)
This thesis examines the relationship between Environmental Social and Governance
(ESG) factors and investment strategies. Specifically, it focuses on how ESG scores
can influence investment decisions within companies listed on the DAX Index, the
benchmark German stock market index. Using Granger causality on individual companies from the DAX and on portfolios built on the ESG score of companies with
average stock market price performance created for the paper, we will focus on the
discovery of temporal dependency. Going further in the portfolios created based
on prior ESG performance, we will specifically investigate the differences between
their ROI, inequality using the Gini coefficient, and predictive power using ensemble
methods of different groups. The results mainly show an advantage for the groups
with better ESG scores in terms of ROI and the use of ensemble methods however,
we note that they are also more unequal based on Gini coefficients. This study
contributes to the understanding of how ESG factors influence investment strategies inside stock markets, providing a foundation for more sustainable investment
practices. (Less)
Please use this url to cite or link to this publication:
author
Modzelewski, Filip LU and Szymanowska, Aleksandra LU
supervisor
organization
course
DABN01 20241
year
type
H1 - Master's Degree (One Year)
subject
keywords
ESG, Machine Learning, Time Series, Financial portfolios, DAX index
language
English
id
9159634
date added to LUP
2024-09-24 08:35:42
date last changed
2024-09-24 08:35:42
@misc{9159634,
  abstract     = {{This thesis examines the relationship between Environmental Social and Governance
(ESG) factors and investment strategies. Specifically, it focuses on how ESG scores
can influence investment decisions within companies listed on the DAX Index, the
benchmark German stock market index. Using Granger causality on individual companies from the DAX and on portfolios built on the ESG score of companies with
average stock market price performance created for the paper, we will focus on the
discovery of temporal dependency. Going further in the portfolios created based
on prior ESG performance, we will specifically investigate the differences between
their ROI, inequality using the Gini coefficient, and predictive power using ensemble
methods of different groups. The results mainly show an advantage for the groups
with better ESG scores in terms of ROI and the use of ensemble methods however,
we note that they are also more unequal based on Gini coefficients. This study
contributes to the understanding of how ESG factors influence investment strategies inside stock markets, providing a foundation for more sustainable investment
practices.}},
  author       = {{Modzelewski, Filip and Szymanowska, Aleksandra}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Navigating ESG Impact: A Comparative Study of Investment Strategies within the DAX Index companies}},
  year         = {{2024}},
}