Sustainable Brazilian Index vs market during Covid-19
DOI:
https://doi.org/10.22567/rep.v11i2.855Keywords:
Sustainable Index, Market Index, Financial Permormance, COVID-19, Corporate Social ResponsabilityAbstract
The main objective of this research is to analyze whether the Sustainability Index (ISE) exceeds the Brazil Market Index (BOVESPA) in terms of performance and risk, prior to and during the COVID-19 crisis. To measure the performance of the indices, three performance metrics were calculated: (1) the geometric mean, (2) the semi-variance and (3) the modified Sharpe ratio. The main finding has been that during the COVID-19 period, the sustainable index has a positive return (3%) vs. the market index that presents a negative return (-10%).
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