ESG impact on Financial Performance: exploring factor models across different economic conditions

Abstract

This thesis aims to explore the performance differences between European ESG and non-ESG funds, with a focus on the dynamics during market crises. The analysis employs financial factor models and risk metrics to assess the effectiveness of sustainable investments in offering downside protection during turbulent economic times. To provide insights into the resilience of ESG funds, data spanning multiple crisis periods are examined. The results contribute to the ongoing discussion on socially responsible investing and provide insights for investors and fund managers.