Portfolio management of ESG-labeled energy companies based on PTV and ESG factors

Antonio Díaz, Carlos Esparcia, Daniel Alonso and Maria-Teresa Alonso

Energy Economics, 2024, vol. 134, issue C

Abstract: This paper evaluates monthly quartile portfolios of ESG-labeled companies constructed based on their Prospect Theory Value (PTV) and ESG scores in the closely monitored energy sector. Investing in ESG-labeled energy stocks can outperform a value-weighted global energy sector index, according to several out-of-sample performance analyses. The PTV strategy stands out over a sample period of more than twelve years. This strategy performs similarly to a fully diversified world market index and consistently outperforms a world energy index. Over the last five years, the simple strategy based on ESG scores performs similarly to the PTV strategy.

Keywords: Prospect theory; ESG; Portfolio management; Performance; Energy (search for similar items in EconPapers)
JEL-codes: G11 G15 G41 Q56 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002536

DOI: 10.1016/j.eneco.2024.107545

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