Examinando por Autor "Aponte Sarria, Jaime"
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Ítem La influencia de la calificación ESG sobre los rendimientos de los ETFs de renta variable(Universidad EAFIT, 2024) Aponte Sarria, Jaime; Casas Riascos, José de Jesús; Téllez Falla, Diego FernandoThis study evaluates the performance of 1,075 U.S. domiciled ETFs during 2023 based on their ESG rating, in order to determine the relationship between rating and investor returns. To do so, performance measures such as Jensen's alpha and Sharpe ratio are calculated, and an expansion to the CAPM is performed through the Fama-French three-factor model. Using panel data, a positive and significant relationship was found between the ESG rating of the ETFs and their excess returns. However, when analyzing the ratings according to the ESG quality ranking established by MCSI, no significant differences were found between the excess returns of funds with high ratings and ETFs with average ratings, unlike what happened with funds located in the lower part of the ESG ranking, since they reflect a negative and significant impact on returns.