Integration of ESG Criteria into Financial Asset Valuation: An Extension of the CAPM and Fama-French Models

Identifier:  TFG:10232

Handle: https://hdl.handle.net/20.500.11797/TFG10232

Authors:  Ionescu Badita, Leticia Beatriz

Abstract:
This Bachelor's thesis compares the financial performance of an ESG portfolio with that of a conventional portfolio in the European market during 2025. Based on daily data, the study analyzes returns, risk, correlation, and risk-adjusted ratios, as well as the CAPM and Fama-French models. The results indicate that both portfolios perform very similarly and that the market is the primary explanatory factor. The ESG portfolio exhibits slightly lower volatility and beta, but not higher returns. The conclusion is that ESG investment is comparable to conventional investment, with no clear financial penalty.