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The Causal Relationships Between ESG and Financial Asset Classes : A multiple investment horizon wavelet approach of the non-linear directionalityAndersson, Emil, Hoque, Mahim January 2019 (has links)
This thesis investigates if Environmental, Social and Governance (ESG) investments can be considered as an independent asset class. As ESG and responsible investing has increased substantially in recent years, responsible investments have entered the portfolios with other asset classes too. Therefore, there is a need in studying ESG investment properties with other financial asset classes. By collecting daily price data from October 2007 to December 2018, we research the directionalities between ESG, ethical, conventional, commodities and currency. Initially, we employed a MODWT, multiscale investment horizon wavelet analysis transformation of the data. The decomposed wavelet data is then applied in pairwise linear and non-linear Granger causality estimations to study the directionality relationships dependent on investment horizon. Additionally, econometric filtering processes have been employed to study the effects of volatility on directionality relationships. The results mainly suggest significant directionality relationships between ESG and the other asset classes. On the medium-term investment horizon, almost all estimations indicate strict bidirectionality. Thus, on the medium-term, ESG can be said to be integrated with the other asset classes. For the long-term horizon, most relationships are still predominantly bidirectional between ESG and all other asset classes. The biggest differences are found on the short-term horizon, with no directionality found between ESG and commodities that cannot be explained by volatility. Furthermore, most directionality relationships also disappear when controlling for the volatility transmission between ESG and currency on the short-term horizon. Thus, our findings suggest significantly more integration between ESG and ethical and conventional as bidirectionality overwhelmingly prevails regardless of investment horizon. As previous research has found similarities between ethical and conventional as well as ESG having similar characteristics to commodities as conventional and ethical, we suggest that ESG should be considered as being integrated and having strong similarities with other equities. Thus, it should be treated as being part of the conventional equity asset class. Deviations from bidirectionality could be caused by ESG variable specific heterogeneity. However, despite our rejection of ESG as an independent asset class, it still carries significant potential as it excludes firms with climate-harming practices, thereby helping in combating climate-related as well as social and governance issues the world is facing.
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Analysis of efficiency of funds management investment shares in brazil / AnÃlise de eficiÃncia de gestÃo dos fundos de investimento em aÃÃes no brasilGuilherme Castro Padilha 17 August 2012 (has links)
Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / This article analyzes the effect of decisions on resource allocation among items of operating
expenses, administrative and otherwise, in the unilateral moments of the distribution of
returns on Brazilian stock mutual funds. We follow methodologically Chambers, Chung and
Fare (1996, 1998), using the Directional Distance Function (DDF) technique, which allows us
to measure the behavior of the average value, and semicurtose semivariance of returns of
funds, together with inputs associated with the internal allocation of resources. The boundary
of "production" was constructed from the observation of the accounting entries monthly and
daily returns for a panel of 59 mutual funds within the class of Ibovespa Activity during 2005
to 2009. We are able to evidence a high level of persistence in terms of efficiency,
corroborating the evidence reported in Castro and Matos (2012). The more efficient funds
have higher levels of cumulative return, except in 2008, lower levels of undesirable products
associated with the risk and composition of operating expenses, such that the value of the
ratio of non administrative expenses/ administrative expenses is approximately half of the
observed for the most inefficient funds. / Este trabalho estuda os nÃveis de eficiÃncia do processo produtivo dos fundos de investimento
em aÃÃes no Brasil, visando acomodar as crÃticas de Murthi et al. (1997) e Basso e Funari
(2001). Analisa-se o efeito das decisÃes em termos de alocaÃÃo de recursos dentre rubricas de
despesas especificamente operacionais ou administrativas nos nÃveis de ganho e de risco
mensurado pela semivariÃncia e semicurtose, a partir da FunÃÃo DistÃncia Direcional proposta
por Chambers, Chung e FÃre (1996, 1998). A observaÃÃo do comportamento conjunto dos
inputs e outputs e a construÃÃo da fronteira de produÃÃo para um painel de 59 fundos mÃtuos
de investimento em aÃÃo, categoria Ibovespa Ativo, durante 2005 a 2009, permitem
evidenciar um elevado nÃvel de persistÃncia em termos de eficiÃncia, corroborando a
evidÃncia de persistÃncia de performance reportada em Matos e Castro (2012). Os fundos
sistematicamente eficientes sÃo todos administrados por instituiÃÃes financeiras privadas,
possuem uma tendÃncia de alocar proporcionalmente mais em cotas de outros fundos que os
fundos ineficientes e atendem essencialmente clientes institucionais, private ou de alta renda,
enquanto os fundos ineficientes sÃo direcionados essencialmente para o pÃblico em geral. A
eficiÃncia està associada ainda a maiores nÃveis de retorno acumulado, exceto em 2008,
menores nÃveis de produtos indesejÃveis associados ao risco e a uma composiÃÃo dos gastos
tal que, o valor da razÃo de gastos nÃo administrativos/gastos administrativos Ã
aproximadamente a metade do evidenciado para os fundos sistematicamente ineficientes. Os
resultados parecem robustos quando comparados aos tradicionais rankings de performance
risco-retorno. Evidencia-se uma maior heterogeneidade de eficiÃncia no turbulento ano de
2008, caracterizada por uma maior quantidade de fundos na fronteira, quase 30%, e pelos
maiores nÃveis de ineficiÃncia.
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