Unraveling the relationship between betas and ESG scores through the Random Forests methodology

Risk Management - Tập 25 Số 3 - Trang 1-29 - 2023
Martín-Cervantes, Pedro Antonio1, Valls Martínez, María del Carmen2
1Department of Financial Economics and Accounting, University of Valladolid, Valladolid, Spain
2Mediterranean Research Center on Economics and Sustainable Development (CIMEDES), Economics and Business Department, University of Almería, Almería, Spain

Tóm tắt

This research employs the Random Forests methodology to identify the relationship between the betas and 13 variables of financial and non-financial nature for the stocks listed in the S&P 500 index throughout the period 2015–2019. Our findings reveal according to the Relative Importance criterion that the ESG Scores constitute the main variable on the formation, determination, and sign of betas. In the same way, we verify a quasi-direct correspondence between betas and industrial sectors, finding a certain heterogeneity across the analyzed betas. The utilization of the Random Forests methodology assures the fact of obtaining relevant results since this approach inhibits the plausible correlation between the considered variables.

Tài liệu tham khảo

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