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Is Corporate Social Responsibility Priced? An Approach towards Opend-End Equity Investment Funds

Georges, Maxime
(2017)

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MaximeGeorges_53571200_2017.pdf
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Details

Supervisors
Grégoire, Philippe
Faculty
Louvain School of Management
Degree label
Master [120] en Ingénieur de gestion
Abstract
This master thesis aims at determining whether sustainable and responsible equity investment funds perform differently than characteristics-matched conventional investment funds. After an extensive litterature review of past empirical evidence, an investigation is conducted: risk-adjusted performance controlling for size, book-to-market ratio, momentum and European stocks is estimated on both unconditional and conditional basis. The countries of interest are Belgium, the Netherlands, France and Germany. In addition, regression analysis is also conducted for green and socially responsible funds.