An Analysis of Combining ESG-Scores and Price Momentum Strategies
| Autor: | Su, Yu-Ting, 蘇鈺婷 |
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| Rok vydání: | 2019 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 107 In this study, we try to investigate whether the ESG disclosure scores provided in the Bloomberg database combined with price momentum strategies can generate excess returns. The empirical results show that buying the loser with the lowest G-Score (P1G1) and selling the winner with the highest G-Score in the past (P5G5), you can get a significant excess returns of 0.93% for 12 months. This result indicates that companies that used to be losers in the past and that have the lowest scores in corporate governance disclosures may be easily undervalued, while winners with the highest scores may be overvalued. In order to avoid the failure of the price momentum strategy caused by the financial crisis, we further divided the sample into 2010 to 2017, and found that buying P1ESG1 of small size firm, while selling P5ESG5 of small size firm, and hold for 9 or 12 months, significant excess returns of 13.73% and 11.60% were obtained. Therefore, we infer that the efficiency of small company stocks is low, even if it has ESG-score disclosed, it is easy to be underestimated or overestimated. Small companies with high ESG-Score may be overvalued when good news happens. Conversely, small companies with low ESG-Score can easily be underestimated when bad news occurs. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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