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Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French alphas by Miralles-Quirós, José Luis; Miralles-Quirós, María Mar; Nogueira, José Manuel is a Environmental Science article available to read on EtoBox.

What is Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French alphas about?

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 as well as the global challenges that can be achieved. The profitability of developing an investment strategy is shown 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, it is proven that investors should focus their investments on two main SDGs: Good health and well-being (Goal 3) and Industry, innovation and infrastructure (Goal 9).

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Author

Miralles-Quirós, José Luis; Miralles-Quirós, María Mar; Nogueira, José Manuel

Publisher

MDPI AG; MDPI Open Access Publishing; Basel: MDPI, 2009- (ISSN 2071-1050)

Published

2020

Language

EN

Field

Environmental Science (Social Sciences)