Against the background of the UN 2030 Agenda and the Principles for Responsible Investment (signed in 2006, PRI, 2006), the thesis addresses three main issues in sustainable finance encompassing different types of assets (bonds and stocks) and different model’s objectives (pricing and portfolio). The first issue is the pricing of green bonds, which is central to green finance. The second issue is the performance of stock portfolios based on screening strategies and ESG (Environmental, Social and Governance) scores. The third issue is the setup of an optimal stock portfolio accounting for ESG requirements. The first chapter of the thesis contributes to the literature on green bonds by proposing an original model for bond pricing, which accounts for a systemic green risk factor beside a systemic market risk factor. Using the Fama and MacBeth approach on a sample of Euro-denominated green and conventional bonds over the period 2014-2021, the green premium is estimated disentangling its two components: the sensitivity to systemic greenness and the price of green risk. We find that the price of green risk is on average significant and positive (62.5 bps per annum) and the green premium is on average positive for green bonds and negative for conventional bonds. However, the green risk price becomes negative during Covid-19 pandemic, suggesting greenness is considered a benefit in periods of market stress. The second chapter, framed within the literature on socially responsible investments (SRI), specifically contributes to the literature on the performance of screening strategies for stock portfolios based on ESG scores. Negative and positive screening strategies based on Bloomberg ESG scores and different screening thresholds are set up from the stocks belonging to the EURO STOXX index in the period 2007-2021 and over four short-term subperiods including 2008 global recession and 2020 Covid-19 pandemic. Main results reveal that negative screening strategies overperform a benchmark passive strategy in the long term whereas overperformance is not verified in the short run and when positive screenings are adopted. The last chapter aims to address the optimal portfolio allocation problem over a sample of stocks by considering also non (strictly) financial aspects such as the ESG dimensions. We follow Varmaz et al. (2022) optimization model by minimizing portfolio residual risk and imposing a desired level of portfolio systemic risk and ESG score (measured by Bloomberg ESG score) over both an unscreened and a screened sample based on the stocks of the EURO STOXX Index in the period 2007 –2022. Main results indicate that, regardless of the level of portfolio systemic risk, the Sharpe ratio of the optimal portfolios worsens as the target ESG level increases. Further, negative screenings obtain a superior performance with respect to optimization over an unscreened sample only when adopting a very severe screening, implying that very virtuous companies allow investors to do well by doing good. In sum, overall thesis results suggest that sustainable investing can be considered both beyond and behind ESG: “beyond” because it integrates all E, S, G dimensions together while ESG approaches often focus on single dimensions only; “behind” because a relevant part of sustainable investing still consists of simple strategies (e.g. screening strategies) that do not fully exploit the metrics developing in connection with ESG. Thesis results are of interest for many stakeholders, in particular financial intermediaries that are called by the regulator to manage their portfolio in consideration of climate risk and the asset management industry that must consider clients’ sustainable preferences in compliance of the revision of the EU’s MiFID II directive.
Nel contesto dell'Agenda 2030 ONU e dei Principi per l'Investimento Responsabile (firmati nel 2006, PRI, 2006), la tesi affronta tre principali tematiche della finanza sostenibile riferite a differenti asset (obbligazioni e azioni) e differenti modelli (di pricing e di portafoglio). La prima tematica riguarda la green finance e analizza il pricing dei green bond. La seconda tematica è la performance dei portafogli azionari costruiti a partire da strategie di screening e ESG (Environmental, Social, Governance) score; la terza consiste nella costruzione di un portafoglio azionario ottimo in considerazione dei fattori ESG. Il primo capitolo della tesi contribuisce alla letteratura sui green bond proponendo un modello di pricing che include un fattore di rischio di mercato e uno di rischio sistemico riferito alla caratteristica green dei bond. Seguendo l'approccio di Fama e MacBeth su un campione di bond green e convenzionali denominati in Euro nel periodo 2014-2021, stimiamo il green premium e lo scomponiamo nelle sue componenti: quantità e prezzo del rischio green. Il prezzo del rischio green è in media positivo (62,5 bp/anno) e il green premium è in media positivo per i green bond e negativo per i bond convenzionali. Tuttavia, il prezzo del rischio green diventa negativo durante la pandemia del Covid-19, indicando che la caratteristica green è considerata un vantaggio nei periodi di stress del mercato. Il secondo capitolo contribuisce alla letteratura sugli investimenti socialmente responsabili (SRI) fornendo un’analisi sulla performance delle strategie di screening basate su score ESG e applicate a portafogli azionari. A tal fine, implementiamo strategie di screening negativo e positivo a partire dai titoli dell'indice EURO STOXX e dagli score ESG di Bloomberg e la performance dei portafogli ottenuti è valutata nel lungo periodo (2007-2021) e su quattro sotto-periodi tra cui la crisi del 2008 e quella del Covid-19. I risultati mostrano che le strategie di screening negativo sovraperformano una strategia passiva benchmark nel lungo periodo, ma tale sovraperformance non si verifica nel breve periodo e quando si adotta uno screening positivo. L'ultimo capitolo tratta il tema della composizione ottima di un portafoglio azionario considerando anche aspetti non strettamente finanziari come quelli ESG. Usiamo il modello di Varmaz et al. (2022) in cui si minimizza il rischio residuo del portafoglio imponendo un vincolo sul livello desiderato di rischio sistemico e ESG score (misurato con lo score di Bloomberg) e lo analizziamo sia su un campione formato dalle azioni dell’indice EURO STOXX nel periodo 2007-2022 sia su un sotto-campione in cui è stato implementato uno screening negativo. I risultati indicano che lo Sharpe ratio dei portafogli ottimi peggiora all'aumentare del livello ESG desiderato. Inoltre, con screening negativi si ha una performance superiore solo adottando uno screening molto severo. I risultati complessivi della tesi indicano che gli investimenti sostenibili sono sia oltre che un passo indietro rispetto agli ESG: "oltre" perché integrano tutte e tre le dimensioni E, S, G, mentre gli approcci ESG spesso si concentrano solo su un singolo aspetto; "un passo indietro" perché una parte rilevante degli investimenti sostenibili si basa ancora sulle semplici strategie (es. quelle di screening) che non sfruttano appieno le metriche che si stanno perfezionando sugli ESG. Tali risultati sono interessanti per vari stakeholder, in particolare per gli intermediari finanziari che sono chiamati dalla regolamentazione a gestire i loro portafogli tenendo conto del rischio climatico e per l'industria del risparmio gestito che, in linea con la revisione della direttiva MiFID II, deve considerare le preferenze di sostenibilità dei clienti.
Investimenti sostenibili: oltre o un passo indietro rispetto gli ESG? / Beatrice Bertelli , 2023 Feb 10. 35. ciclo, Anno Accademico 2021/2022.
Investimenti sostenibili: oltre o un passo indietro rispetto gli ESG?
BERTELLI, BEATRICE
2023
Abstract
Against the background of the UN 2030 Agenda and the Principles for Responsible Investment (signed in 2006, PRI, 2006), the thesis addresses three main issues in sustainable finance encompassing different types of assets (bonds and stocks) and different model’s objectives (pricing and portfolio). The first issue is the pricing of green bonds, which is central to green finance. The second issue is the performance of stock portfolios based on screening strategies and ESG (Environmental, Social and Governance) scores. The third issue is the setup of an optimal stock portfolio accounting for ESG requirements. The first chapter of the thesis contributes to the literature on green bonds by proposing an original model for bond pricing, which accounts for a systemic green risk factor beside a systemic market risk factor. Using the Fama and MacBeth approach on a sample of Euro-denominated green and conventional bonds over the period 2014-2021, the green premium is estimated disentangling its two components: the sensitivity to systemic greenness and the price of green risk. We find that the price of green risk is on average significant and positive (62.5 bps per annum) and the green premium is on average positive for green bonds and negative for conventional bonds. However, the green risk price becomes negative during Covid-19 pandemic, suggesting greenness is considered a benefit in periods of market stress. The second chapter, framed within the literature on socially responsible investments (SRI), specifically contributes to the literature on the performance of screening strategies for stock portfolios based on ESG scores. Negative and positive screening strategies based on Bloomberg ESG scores and different screening thresholds are set up from the stocks belonging to the EURO STOXX index in the period 2007-2021 and over four short-term subperiods including 2008 global recession and 2020 Covid-19 pandemic. Main results reveal that negative screening strategies overperform a benchmark passive strategy in the long term whereas overperformance is not verified in the short run and when positive screenings are adopted. The last chapter aims to address the optimal portfolio allocation problem over a sample of stocks by considering also non (strictly) financial aspects such as the ESG dimensions. We follow Varmaz et al. (2022) optimization model by minimizing portfolio residual risk and imposing a desired level of portfolio systemic risk and ESG score (measured by Bloomberg ESG score) over both an unscreened and a screened sample based on the stocks of the EURO STOXX Index in the period 2007 –2022. Main results indicate that, regardless of the level of portfolio systemic risk, the Sharpe ratio of the optimal portfolios worsens as the target ESG level increases. Further, negative screenings obtain a superior performance with respect to optimization over an unscreened sample only when adopting a very severe screening, implying that very virtuous companies allow investors to do well by doing good. In sum, overall thesis results suggest that sustainable investing can be considered both beyond and behind ESG: “beyond” because it integrates all E, S, G dimensions together while ESG approaches often focus on single dimensions only; “behind” because a relevant part of sustainable investing still consists of simple strategies (e.g. screening strategies) that do not fully exploit the metrics developing in connection with ESG. Thesis results are of interest for many stakeholders, in particular financial intermediaries that are called by the regulator to manage their portfolio in consideration of climate risk and the asset management industry that must consider clients’ sustainable preferences in compliance of the revision of the EU’s MiFID II directive.File | Dimensione | Formato | |
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Beatrice Bertelli_PhD Thesis.pdf
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