Hlavní práce76207_dimm02.pdf, 21.2 MB Stáhnout

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𝜌 = 0

𝜌 = +1 𝜌 = −1

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𝛽

₀

𝑎𝑛𝑑 𝛽

₁

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𝑎𝑛𝑑 𝜀

_𝑖

) 𝑅

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)

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𝑥 = 0.

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= 1

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𝜌

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^{𝑐𝑜𝑣(𝑥,𝑦)}

𝜎𝑥∗ 𝜎𝑦

[

1 𝜌

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1 𝜌

_2,3

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_3,1

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1 ]

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𝑥 < µ − 3𝜎, µ + 3𝜎 > 𝑥

〈𝑥̃

_0.25

− 1.5𝐼𝑄𝑅, 𝑥̃

_0.25

− 3𝐼𝑄𝑅〉 ∪ 〈𝑥̃

_0.75

+ 1.5𝐼𝑄𝑅, 𝑥̃

_0.25

+ 3𝐼𝑄𝑅〉

〈𝑥̃

_0.25

− 3𝐼𝑄𝑅, −∞〉 ∪ 〈𝑥̃

_0.75

+ 3𝐼𝑄𝑅, + ∞〉

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𝑅𝑒𝑡𝑢𝑟𝑛𝑠 − 𝑅𝑖𝑠𝑘 𝐴𝑑𝑗𝑢𝑠𝑡𝑒𝑑 𝑅𝑒𝑡𝑢𝑟𝑛𝑠 = 𝑅𝑖𝑠𝑘

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•

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𝑌

_𝑖

= 𝛽0 + 𝛽1𝑆𝑢𝑠𝑡𝑎𝑖𝑛𝑎𝑏𝑖𝑙𝑖𝑡𝑦 𝑆𝑐𝑜𝑟𝑒

_𝑖

+ 𝛽2𝐴𝑔𝑒

_𝑖

+ 𝛽3𝑙𝑜𝑔 (𝐹𝑢𝑛𝑑 𝑆𝑖𝑧𝑒 𝐸𝑈𝑅)

_𝑖

+ ∑𝑆𝑡𝑦𝑙𝑒 𝑆𝑖𝑧𝑒 𝐵𝑜𝑥

_𝑖

+ 𝜀

_𝑖

where:

Y

_i

− alternative performance metrics for fund i

Sustainability Score

_i

− ESG score provided by Morningstar for fund i Age

_i

− years since inception date measured at April 2021 for fund i

log (Fund Size EUR)

_i

− logarithm of mutual fund size in EUR temrs for fund i

∑Style Size Box

_i

− dummies of Morningstar style and size categories for fund i

β0, β1, β2 and β3 are parameters of the regression and ε

_i

is the error term for fund i

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𝑌

_𝑖

= 𝛽0 + 𝛽1𝐸𝑛𝑣𝑖𝑟𝑜𝑛𝑚𝑒𝑛𝑡𝑎𝑙 𝑆𝑐𝑜𝑟𝑒

_𝑖

+ 𝛽2𝑆𝑜𝑐𝑖𝑎𝑙 𝑆𝑐𝑜𝑟𝑒

_𝑖

+ 𝛽3𝐺𝑜𝑣𝑒𝑟𝑛𝑎𝑛𝑐𝑒 𝑆𝑐𝑜𝑟𝑒

_𝑖

+ 𝛽4𝐴𝑔𝑒

_𝑖

+ 𝛽5𝑙𝑜𝑔 (𝐹𝑢𝑛𝑑 𝑆𝑖𝑧𝑒 𝐸𝑈𝑅)

_𝑖

+ ∑𝑆𝑡𝑦𝑙𝑒 𝑆𝑖𝑧𝑒 𝐵𝑜𝑥

_𝑖

+ 𝜀

_𝑖

where:

Y

_i

− alternative performance metrics for fund i

Environmental Score

_i

− Environmental score provided by Morningstar for fund i Social Score

_i

− Social score provided by Morningstar for fund i

Governance Score

_i

− Governance score provided by Morningstar for fund i Age

_i

− years since inception date measured at April 2021 for fund i

log (Fund Size EUR)

_i

− logarithm of mutual fund size in EUR temrs for fund i

∑Style Size Box

_i

− dummies of Morningstar style and size categories for fund i

β0, β1, β2, β3, β4 and β5 are parameters of the regression and ε

_i

is the error term for fund i

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Sin Industries

_i

− the sum of assets invested in "sin industries" for fund i Age

_i

− years since inception date measured at April 2021 for fund i

log (Fund Size EUR)

_i

− logarithm of mutual fund size in EUR temrs for fund i

∑Style Size Box

_i

− dummies of Morningstar style and size categories for fund i

β0, β1, β2, and β3 are parameters of the regression and ε

_i

is the error term for fund i

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