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Advisor(s)
Abstract(s)
A sustentabilidade é um tema cada vez mais atual no mundo empresarial e na sociedade.
Após a Revolução Industrial, evidenciou-se um aumento exponencial de empresas e como consequência o aparecimento de graves problemas ambientais e sociais. Consequências como o aquecimento global, a redução da camada de ozono, diminuição da biodiversidade, desflorestação, desertificação e resíduos tóxicos que impõem soluções urgentes.
O conceito de sustentabilidade, já era conhecido do mundo empresarial numa abordagem mais limitada e restrita. No entanto, atualmente, as empresas desempenham um papel crucial como agentes de mudança com a crescente preocupação de estarem conscientes do impacto das suas decisões estratégicas no ambiente e na sociedade. Gradualmente, estão a adotar uma nova abordagem em relação aos aspetos económicos, sociais e ambientais que se refletem na informação não financeira e financeira, fazendo do relato integrado uma fonte de excelência.
Os investimentos feitos com o objetivo de reduzir o impacto ambiental negativo são fundamentais nas estratégias adotadas, pois a importância da preservação ambiental, social e de governança do nosso planeta é primordial para criar valor a longo prazo.
A Diretiva Europeia 2014/95/EU, emitida pelo Parlamento Europeu e pelo Conselho a 22 de outubro de 2014, impõe a algumas empresas a obrigação de divulgar informações não financeiras relevantes. Assim, visa proporcionar a investidores e às partes interessadas um quadro mais completo sobre a evolução, desempenho, posição e impacto das suas atividades.
Neste contexto, surge o índice S&P 500 ESG, que considera fatores ambientais, sociais e de governança para refletir um desempenho semelhante ao benchmark e, em simultâneo, incorporar uma visão mais sustentável.
Esta dissertação, propõe-se a investigar a possibilidade de o índice S&P 500 ESG servir como cobertura safe-haven para o S&P 500, ou seja, se ele pode ser uma estratégia de proteção contra riscos no mercado financeiro.
Sustainability is an increasingly current topic in the business world and in society. After the Industrial Revolution, there was an exponential increase in companies and, as a consequence, the emergence of serious environmental and social problems. Consequences such as global warming, reduction of the ozone layer, decrease in biodiversity, deforestation, desertification and toxic waste that require urgent solutions. The concept of sustainability was already known in the business world in a more limited and restricted approach. However, today, companies play a crucial role as agents of change with the growing concern of being aware of the impact of their strategic decisions on the envi ronment and society. Gradually, they are adopting a new approach to the economic, social and environmental aspects that are reflected in non-financial and financial information, mak ing integrated reporting a source of excellence. Investments made with the aim of reducing the negative environmental impact are fundamental in the strategies adopted, as the importance of environmental, social and governance preservation of our planet is essential to create long-term value. European Directive 2014/95/EU, issued by the European Parliament and the Council on Oc tober 22, 2014, imposes on some companies the obligation to disclose relevant non-financial information. Thus, it aims to provide investors and interested parties with a more complete picture of the evolution, performance, position and impact of its activities. In this context, the S&P 500 ESG index appears, which considers environmental, social and governance factors to reflect a performance similar to the benchmark and, simultaneously, incorporate a more sustainable vision. This dissertation aims to investigate the possibility of the S&P 500 ESG index serving as a safe-haven hedge for the S&P 500, that is, whether it can be a protection strategy against risks in the financial market.
Sustainability is an increasingly current topic in the business world and in society. After the Industrial Revolution, there was an exponential increase in companies and, as a consequence, the emergence of serious environmental and social problems. Consequences such as global warming, reduction of the ozone layer, decrease in biodiversity, deforestation, desertification and toxic waste that require urgent solutions. The concept of sustainability was already known in the business world in a more limited and restricted approach. However, today, companies play a crucial role as agents of change with the growing concern of being aware of the impact of their strategic decisions on the envi ronment and society. Gradually, they are adopting a new approach to the economic, social and environmental aspects that are reflected in non-financial and financial information, mak ing integrated reporting a source of excellence. Investments made with the aim of reducing the negative environmental impact are fundamental in the strategies adopted, as the importance of environmental, social and governance preservation of our planet is essential to create long-term value. European Directive 2014/95/EU, issued by the European Parliament and the Council on Oc tober 22, 2014, imposes on some companies the obligation to disclose relevant non-financial information. Thus, it aims to provide investors and interested parties with a more complete picture of the evolution, performance, position and impact of its activities. In this context, the S&P 500 ESG index appears, which considers environmental, social and governance factors to reflect a performance similar to the benchmark and, simultaneously, incorporate a more sustainable vision. This dissertation aims to investigate the possibility of the S&P 500 ESG index serving as a safe-haven hedge for the S&P 500, that is, whether it can be a protection strategy against risks in the financial market.
Description
Mestrado em Análise Financeira
Keywords
Índice S&P500 ESG Relatório sustentabilidade Risco Volatilidade Modelo de Black-Scholes S&P500 ESG Index Sustainability report Risk Volatility Black-Scholes model
Citation
Matias, M. A. N. P. (2024) Será que o índice ESG é um safe haven para o mercado de ações: uma aplicação ao S&P500? [Dissertação de mestrado, Instituto Superior de Contabilidade e Administração de Lisboa]. Repositório Científico do Instituto Politécnico de Lisboa. http://hdl.handle.net/10400.21/17654