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

Author

Listed:
  • Díaz, Antonio
  • Esparcia, Carlos
  • Alonso, Daniel
  • Alonso, Maria-Teresa

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.

Suggested Citation

  • Díaz, Antonio & Esparcia, Carlos & Alonso, Daniel & Alonso, Maria-Teresa, 2024. "Portfolio management of ESG-labeled energy companies based on PTV and ESG factors," Energy Economics, Elsevier, vol. 134(C).
    • Handle: RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002536
    DOI: 10.1016/j.eneco.2024.107545
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    More about this item

    Keywords

    Prospect theory; ESG; Portfolio management; Performance; Energy;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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