Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas

José Luis Miralles-Quirós, María Mar Miralles-Quirós and José Manuel Nogueira
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José Luis Miralles-Quirós: Department of Financial Economics, University of Extremadura, 06006 Badajoz, Spain
María Mar Miralles-Quirós: Department of Financial Economics, University of Extremadura, 06006 Badajoz, Spain
José Manuel Nogueira: Department of Financial Economics, Polytechnic Institute of Tomar, 2300-313 Tomar, Portugal
Authors registered in the RePEc Author Service: José Luis Miralles Quirós

Sustainability, 2020, vol. 12, issue 5, 1-16

Abstract: 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).

Keywords: socially responsible investment; sustainable development goals; exchange traded funds; multi-factor models; portfolio performance (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:12:y:2020:i:5:p:1842-:d:326575

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