Questions tagged [esg]

Environmental, Social, and Governance refers to the three central factors in measuring the sustainability and societal impact of an investment in a company or business.

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ESG risk factors

In the context of EU action on sustainable finance, the European Commission has initiated a series of regulations in order to achieve the goals of Paris Agreement on sustainability. One of those ...
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1answer
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How to create an additional ESG factor into a Fama and French 3 Factor Model

I'm writing my thesis on the relationship between financial performance and sustainability. For that I'm comparing the returns of 2 portfolios, the first having really good ESG scoring firms, while ...
2
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1answer
80 views

How to test ESG score as a factor against traditional factors

I have created my own ESG scoring system. I would like to test it as a factor against the traditional factors (growth, Value, quality, size etc) In essence a correlation test. Could anyone please ...
5
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2answers
143 views

How to price, hedge ESG-dependent products?

I read with interest news about Netherlands bank trading several novel products in which a counterparty pays floating cash flows linked to the counterparty's ESG (environment, social, governance) ...