Sustainable development goals and investment strategies. The profitability of using five-factor fama-Fench alphas

• Jose Luis Miralles Quirós ^[1] ; María del Mar Miralles Quirós ^[1] ; José Manuel de Barros Pinheiro Nogueira ^[2]
  1. [1] Universidad de Extremadura

     Universidad de Extremadura

     Badajoz, España

     
  2. [2] Instituto Politécnico de Tomar

     Instituto Politécnico de Tomar

     Santa Maria Dos Olivais, Portugal

     
• Localización: XXX Jornadas Luso-Espanholas de Gestão Científica: cooperação transfronteiriça. Desenvolvimento e coesão territorial. Livro de resumos / Paula Fernandes (aut.), 2020, ISBN 978-972-745-273-6, pág. 211
• Idioma: inglés
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  • Texto Completo Libro
• Resumen

  • 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. We show the profitability of developing an investment strategy 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, we show that investors should focus their investments on two main SDGs: Good health and well-being (Goal 3) and Industry, innovation and infrastructure (Goal 9).