Desempenho das ações listadas no ISE da B3 nos anos de 2022 e 2023 x demais açõesuma visão clusterizada
Conde, Daniel Mamoré
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Resumo
The study aims to evaluate the performance of shares listed in B3's Corporate Sustainability Index (ISE) in comparison to unlisted shares from a clustered perspective. With this objective, Theoretical Stock Portfolios were created for the years 2022 and 2023. The Portfolios are composed of companies that participated in the selection process to compose B3's ISE, regardless of whether they were selected to compose the index or not. In this context, we have two groups of Theoretical Portfolios: i) Companies that were not selected and make up Portfolio 99, ii) Companies that were selected by B3's ISE that make up the Clustered Portfolios. To create these Clustered Portfolios, the K-Means method was used, which allowed the creation of Portfolios with an adherent Score profile, that is, Portfolios with a similar ESG profile, with the exception of an “Outliers Portfolio”, which during the Clustering process it did not resemble the other Clusters created. The results presented suggest that a greater ESG commitment (higher score in the Combined Score) generates lower risk, therefore lower volatility, but that this does not guarantee a higher accumulated profitability than other peers. Portfolio 99, with the lowest ESG commitment, had the highest accumulated profitability among the Portfolios/scenarios evaluated, having a lower profitability only in the scenario with the Outlier Portfolio present, which had a profitability much higher than the other groups evaluated. It is important to point out that, despite the different accumulated returns, there is no statistically relevant difference between the returns within each scenario, as determined by the Wilcoxon-Mann-Whitney test, which evaluates the central point, that is, the median of returns.
Ficha do documento
- Tipo
- Dissertação
- Ano
- 2024
- Instituição
- Fundação Getulio Vargas
- Fonte
- Repositório da FGV
- Idioma
- Português
- Acesso
- Acesso aberto
- Identificador
- oai:repositorio.fgv.br:10438/34892
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