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Are ESG issues also an explanatory factor for volatility in returns? Evidence with the integration of a climate factor in the Fama-French model.

Jonckheere, Thomas
(2022)

Files

Jonkcheere_28281700_2022.pdf
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  • 3.33 MB

Details

Supervisors
Iania, Leonardo
Faculty
Louvain School of Management
Degree label
Master [120] en sciences de gestion, à finalité spécialisée
Abstract
The aim of the master thesis is to analyze whether the issues and news related to ESG (Environment, Social, Governance) impact the valuations on the financial markets and consequently the volatility. A special focus will be put on environmental issues and thus, an integration of a climate factor in the Fama-French model will complete the research.