02663ntm a22004697i 4500 000679206 CZ-PrVSE 20200919120903.0 m d cr n|||||||||| 200919s2020 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Ngo, Tam Thi ISIS:142632 dis HOW IS THE ESG FACTOR RELATED TO TRADITIONAL FACTORS? : eng HOW IS THE ESG FACTOR RELATED TO TRADITIONAL FACTORS? : / Tam Thi Ngo 2020 ?? stran : digital, PDF soubor Vedoucí práce: Marcela Zárybnická Žárová Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2020 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2020 This master thesis discusses ESG effect on the portfolio performance and how this factor is relatedto conventional factors. First, ESG-related portfolios and the ESG factor portfolio are constructedbased on ESG score. Second, return, standard deviation and Sharpe ratio are calculated to presentportfolio performance. Finally, 12 asset pricing models are run on the portfolio and single-stockslevel. ESG factor is added into base models. We observe that the higher ESG-scored portfolio doesnot lead to the better return compared to the lower ESG-scored portfolio. The analysis of assetpricing models on the portfolio level shows that the ESG factor does not enhance the explanatorypower of traditional models. The analysis on single stocks illustrates that ESG factor can explainexpected return better higher than CMA only, but worse than MKT, SMB+HML, WML, RMWand RMW+CMA. Způsob přístupu: Internet finance and accounting [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas factor esg factor single stock Zárybnická Žárová, Marcela, 1959- ola2003198130 ths Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/73905/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/73905 Hlavní práce https://insis.vse.cz/zp/73905/priloha/21065 Přiloha k práci https://insis.vse.cz/zp/73905/podrobnosti dc:identifier NEPOSILAT VSKP vse73905 200918 73905