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Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas

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  • José Luis Miralles-Quirós

    (Department of Financial Economics, University of Extremadura, 06006 Badajoz, Spain)

  • María Mar Miralles-Quirós

    (Department of Financial Economics, University of Extremadura, 06006 Badajoz, Spain)

  • José Manuel Nogueira

    (Department of Financial Economics, Polytechnic Institute of Tomar, 2300-313 Tomar, Portugal)

Abstract

This study focuses on assets related to Sustainable Development Goals (SDGs), which are the most recent aspect of the Socially Responsible Investment framework and have caught the attention of investors due to their investment opportunities as well as the global challenges that can be achieved. The profitability of developing an investment strategy is shown based on the value of the alphas obtained from the estimation of the Fama-French five-factor model when compared to an equally weighted portfolio, even when transaction costs are taken into consideration. In addition, it is proven that investors should focus their investments on two main SDGs: Good health and well-being (Goal 3) and Industry, innovation and infrastructure (Goal 9).

Suggested Citation

  • José Luis Miralles-Quirós & María Mar Miralles-Quirós & José Manuel Nogueira, 2020. "Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas," Sustainability, MDPI, vol. 12(5), pages 1-16, February.
    • Handle: RePEc:gam:jsusta:v:12:y:2020:i:5:p:1842-:d:326575
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