Oponentura71643_sieber.pdf, 615.1 kB Stáhnout

Master´s Thesis Evaluation by the Opponent

Title of the Master´s Thesis:

A look into Morningstar ESG Rating and its relation to mutual fund performance

Author of the Master´s Thesis:

Marko Dimitrov

Goals of the Master´s Thesis:

Analyse if and how does Morningstar ESG rating relate to mutual fund performance on funds available for European customers.

Evaluation:

Criteria Description Max.

points Points

Content 70%

Output Quality In total is the outpu quality acceptable. Outpus are rather understandable and relevant to goals. Considering some limitation of robustness of the resulted models, the presented outputs helps the reader to understand better the issue.

20 17

Goals The goals of the thesis are evident and accomplished.

10 8

Methodology: Methods are rather adequate, but their usage need a little bit better explanation of potential problems (see questions) regarding multicorrelation of the dependend variables and missing regressors causing low R2.

20 16

Theory/

Conceptualization: Conceptualization and theoretical backgrown are well cited and som insights are really relevant. Maybe the explanation of the problems of market efficiency and understanding of undervaluation or overvaluation and relationship to results of empirical part could be better.

20 17

Formal requirements 15%

Structure: The thesis is a consistent, well-organised logical whole.

3 3

Terminology: Linquistic level could be a little bit better. The English suttisfied the requirements, but there are some grammatical mistakes presented. Some

elementary terms could be more naritively explained. 4 3

Formalities: Formally, the study reaches required level.

4 3

Citing: Quality and quantity of citation is acceptable.

4 4

Delivery 15 %

Presentation document:

Is the presentation itself structured in a clear way? Is it appealing and easy to

follow? Does it convey the message efficiently? 5

Presentation skills:

Are you conveying the message efficiently and timely? Do you use

appropriate words, speed, tone of voice, gestures, movement etc. to express

your thoughts in a clear manner? 5

Argumentation: Are you able to readily and briskly react to questions or comments? Are you able to explain unclear parts and connect comments to relevant places in your presentation or parts of particular analyses? How well are you able to

defend to your ideas and recommendations? 5

100 0

Other comments:

The study is quite interesting empirical work. The student showed appropriate ability to state of the art analysis and tried to interpret his empirical work in the theoretical concept. I do appreciate the logical stepwise way of presentation outpus. However I would appreciate some clarifications suggested in the following paragraph.

Questions or comments to be discussed during the thesis defence:

Page 13, first paragraph you mentioned, that 90 % of the studies showed “non-negative relationship between ESG-CFP”. How many of the studies show zero or negligible relationship (independency)? Is the positive relationship proved? Under which condition it was non-negative but non-positive either? Were these studies based on linear regression? If there is a significant part of studies showing zero correlation (or close zero or not significant regression parameter, what does it mean for your research questions?

Page 44, You described general linear model tested in the following part of the study. There is a set of dummy variables. Why you omitted betas of these dummies from the model description? If these

dummies were tested as regressors, there must be meaningful interpretation of their contribution to the total variability of the dependent variable. In the following paragraph you mentioned that you hold the dummies as a control variable. In the following presentation of the results (table 11) are the dummies’

coefficients presented. Could you clarify, how did you mean it?

Have you tested the depended variables for multicollinearity and heteroscedasticity problems? If there are the results and I just missed them, please clarify this during presentation. If than highlight the results, If not, is there any rational for not testing this potential model problem?

The name of the Opponent:

Ing. Patrik Sieber, Ph.D.

The employer of the Supervisor:

Department of Strategy, FPH, VŠE

Date 18. 6. 2021

Signature of the Opponent:

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