Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas

被引：22

作者：

Miralles-Quiros, Jose Luis ^{[1
]}

Mar Miralles-Quiros, Maria ^{[1
]}

Nogueira, Jose Manuel ^{[2
]}

机构：

[1] Univ Extremadura, Dept Financial Econ, Badajoz 06006, Spain

[2] Polytech Inst Tomar, Dept Financial Econ, P-2300313 Tomar, Portugal

来源：

SUSTAINABILITY | 2020年 / 12卷 / 05期

关键词：

socially responsible investment; sustainable development goals; exchange traded funds; multi-factor models; portfolio performance; SOCIALLY RESPONSIBLE FUNDS; PERFORMANCE PERSISTENCE; MUTUAL FUNDS; GREEN FUNDS; RETURNS; RISK; PORTFOLIOS; DIVERSIFICATION; EQUILIBRIUM; SELECTION;

D O I：

10.3390/su12051842

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

This study focuses on assets related to Sustainable Development Goals (SDGs), which are the most recent aspect of the Socially Responsible Investment framework and have caught the attention of investors due to their investment opportunities as well as the global challenges that can be achieved. The profitability of developing an investment strategy is shown based on the value of the alphas obtained from the estimation of the Fama-French five-factor model when compared to an equally weighted portfolio, even when transaction costs are taken into consideration. In addition, it is proven that investors should focus their investments on two main SDGs: Good health and well-being (Goal 3) and Industry, innovation and infrastructure (Goal 9).

引用

页码：1 / 16

页数：16

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