Abstract

This research includes two separate studies. The first study is devoted to evaluating the persistence effect by analyzing performances of portfolios ranked based on previous performances under various factor models. The result shows that the shorter the holding period, the stronger the predictability and that the Multi-factor model has the highest explaining power for the excess return regarding the underlying factors. The second study is devoted to exploring how sustainable investing influences alpha by introducing a new sustainable factor to reflect the premium due to exposure to sin industries. The study result shows that there is no significant alpha associated with sustainable investing and that there is no significant return differential between funds that have high/low exposure to the sustainable factor.

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