| dc.rights.license | CC-BY-NC-ND | |
| dc.contributor.advisor | Han, Yunhui | |
| dc.contributor.author | Maria Stella Kusuma Dewi, Maria | |
| dc.date.accessioned | 2024-08-26T23:04:03Z | |
| dc.date.available | 2024-08-26T23:04:03Z | |
| dc.date.issued | 2024 | |
| dc.identifier.uri | https://studenttheses.uu.nl/handle/20.500.12932/47385 | |
| dc.description.abstract | This thesis examines whether widely used asset pricing models can be improved by adding a sustainability risk factor. It constructs and assesses long-short sustainability factors in the style of Small Minus Big (SMB) and High Minus Low (HML) as in Fama & French (1993). The sustainability factors are based on the Total ESG Risk and the three individual ESG pillars’ risk for firms in the S&P500. The Total ESG Risk factor, combined with the Market, SMB, and HML factors, results in more accurate descriptions of stock returns than the CAPM and Fama-French Three Factor model. The resulting implication for finance practitioners is that omission of sustainability risk in their asset pricing models might lead to misestimations of required rates of returns. | |
| dc.description.sponsorship | Utrecht University | |
| dc.language.iso | EN | |
| dc.subject | This thesis examines whether widely used asset pricing models can be improved by adding a sustainability risk factor. It constructs and assesses long-short sustainability factors in the style of Small Minus Big (SMB) and High Minus Low (HML) as in Fama & French (1993). The Total ESG Risk factor, combined with the Market, SMB, and HML factors, results in more accurate descriptions of stock returns than the CAPM and Fama-French Three Factor model. | |
| dc.title | Sustainability Risk as an Asset Pricing Factor | |
| dc.type.content | Master Thesis | |
| dc.rights.accessrights | Open Access | |
| dc.subject.keywords | Asset Pricing; Sustainability; Factors; ESG | |
| dc.subject.courseuu | Sustainable Finance and Investments | |
| dc.thesis.id | 37776 | |
