Date of Publication

5-2020

Document Type

Master's Thesis

Degree Name

Master of Science in Financial Engineering

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Michael Gines Munsayac

Abstract/Summary

Environmental, social and governance (ESG) investing has increased popularity over the past few years in line with the substantial growth on empirical studies that back-up its positive impact on firm value as compared to the stigma that it limits investor’s choices. This is in effect provided growth in awareness and investor concern for responsible and sustainable investing. The study is in line with the ASEAN’s steady growth the past decade and its potential to outpace other regions through with its ASEAN integration strategy. The study will focus on the design, testing and evaluation of an equity fund wherein the investor will be able to take advantage of the ASEAN growth and at the same time have an investment strategy that incorporates principles of socially responsible investing. The paper will contribute to the development of the Philippine market’s lackluster ESG portfolio’s that is investing on the ASEAN region. The investment will be an index tracker through partial replication or sampling of an index and employ fundamental fund evaluation, single-index model, and Fama-Macbeth regression to determine whether ESG investing positively affect portfolio performance.

Abstract Format

html

Language

English

Format

Electronic

Keywords

Investments—Moral and ethical aspects—Southeast Asia; Sustainable development—Southeast Asia

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Embargo Period

8-10-2022

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