Following the financial crisis of 2008, investments schemes have been subjected to a change that have led investors to consider new variables within their decision-making processes. In particular, in the last decade, financial markets have witnessed to the growth of awareness about sustainability and responsibility issues among the public, investors and companies. Thus, firms have started to disclose ESG information in order to provide an overview of how the firm manages environmental, social and governance issues. Moreover, non-financial information has started to be used for the construction of investors’ portfolios after that academics have proven that there is a strong and positive correlation between ESG rating and financial performances. Notwithstanding this, only a very small share of the existing literature discusses about the relation between fixed income portfolios and issuers’ ESG performance. To be more precise, we noticed that there were not researches dedicated to the study of the relationship between financial performances of bonds and the ESG Rating Momentum of their issuers. Therefore, this dissertation aims at filling this void in the literature by focusing on European listed bonds. Starting from a sample of 4215 bonds issued by 502 companies, an analysis of the relation between financial performances and ESG Momentum has been carried out for a time span that goes from January 2014 to December 2018. The outcome of this analysis suggests that High-Yield bonds characterized by an issuer with a high ESG Rating Momentum outperform those characterized by an issuer with a low ESG Rating Momentum, while the same divergence of returns cannot be noticed for Investment Grade bonds.
A seguito della crisi finanziaria del 2008, gli schemi di investimento sono stati soggetti a un cambiamento che ha portato gli investitori a considerare nuove variabili all’interno dei loro processi decisionali. In particolare, nell’ultimo decennio, i mercati finanziari hanno assistito a una grande presa di coscienza delle questioni relative a sostenibilità e responsabilità sociale da parte del pubblico, degli investitori e delle aziende. Perciò, le imprese hanno iniziato a mostrare informazioni ESG in modo da fornire una immagine di come l’azienda gestisce temi relativi all’ambiente, alla sfera sociale e alla amministrazione aziendale. Inoltre, gli investitori hanno incominciato a costruire i propri portafogli considerando informazioni non-finanziarie dopo che l’ambiente accademico ha dimostrato una forte correlazione positiva tra rating ESG e performance finanziaria. Nonostante ciò, solamente una piccola parte della letteratura esistente discute la relazione tra la performance ESG degli emittenti e il mercato obbligazionario. Per essere più specifici, abbiamo notato che non ci sono studi riguardanti la relazione tra performance finanziaria delle obbligazioni e momento del rating ESG. Perciò, questa tesi punta a riempire questo vuoto nella letteratura concentrandosi, in particolare, su obbligazioni Europee quotate. Partendo da un campione costituito da 4215 obbligazione emesse da 502 aziende, è stata condotta una analisi sulla relazione tra performance finanziarie e momento ESG nell’intervallo temporale compreso tra Gennaio 2014 e Dicembre 2018. I risultati dell’analisi suggeriscono che i bond con un alto rendimento caratterizzati da emittenti con un alto momento ESG ottengono performance superiori a bond con un alto rendimento ma contraddistinti da un emittente con basso momento ESG. La stessa divergenza tra le performance, invece, non è stata riscontrata per i bond a basso rendimento.
The impact of ESG rating momentum on European listed bonds' performances
ANNESE, ANDREA;CORRADINI, MARCO
2018/2019
Abstract
Following the financial crisis of 2008, investments schemes have been subjected to a change that have led investors to consider new variables within their decision-making processes. In particular, in the last decade, financial markets have witnessed to the growth of awareness about sustainability and responsibility issues among the public, investors and companies. Thus, firms have started to disclose ESG information in order to provide an overview of how the firm manages environmental, social and governance issues. Moreover, non-financial information has started to be used for the construction of investors’ portfolios after that academics have proven that there is a strong and positive correlation between ESG rating and financial performances. Notwithstanding this, only a very small share of the existing literature discusses about the relation between fixed income portfolios and issuers’ ESG performance. To be more precise, we noticed that there were not researches dedicated to the study of the relationship between financial performances of bonds and the ESG Rating Momentum of their issuers. Therefore, this dissertation aims at filling this void in the literature by focusing on European listed bonds. Starting from a sample of 4215 bonds issued by 502 companies, an analysis of the relation between financial performances and ESG Momentum has been carried out for a time span that goes from January 2014 to December 2018. The outcome of this analysis suggests that High-Yield bonds characterized by an issuer with a high ESG Rating Momentum outperform those characterized by an issuer with a low ESG Rating Momentum, while the same divergence of returns cannot be noticed for Investment Grade bonds.File | Dimensione | Formato | |
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https://hdl.handle.net/10589/149657