Vrins, FrédéricMesseauw, SergeSergeMesseauw2025-05-142025-05-142025-05-142024https://hdl.handle.net/2078.2/40729The relationship between companies' carbon footprint and the financial performance of a portfolio composed of these companies is a highly controversial subject in the literature. With the growing importance of climate concerns, the aim of this thesis is to demonstrate whether there is indeed a relationship between companies' carbon footprint and their financial performance and, if such a link exists, what is its nature? To answer this question, we constructed a benchmark portfolio comprising the 50 companies in the EuroStoxx50, which we grouped into five quintiles based on their average carbon intensity and the trend in their management. To check whether the quintiles with a lower carbon score performed better, we constructed 5 portfolio models in each quintile and then observed their results in terms of Sharpe ratios. To verify the statistical significance of these ratio differences, we applied a Jobson-Korkie test modified by Memmel, which led us to conclude that there was a relationship between carbon footprints and financial performance, and that this relationship was negative. However, with a view to enriching our study, we also applied a second approach consisting of applying the same portfolio models but to the reference portfolio, adding a cardinality constraint requiring the selection of 10 assets. We challenged these results with a robustness test that confirmed the significance of only one model. As a result, this second approach also provided us with evidence of a relationship between carbon footprint and financial performance, but this time a positive relationship. In summary, this study has enabled us to verify the existence of a link between carbon footprints and financial performance, with uncertainty as to the nature of such a link, although the results of our first approach appear to be more robust.Carbon footprintPortfolioInvestmentSustainable financetext::thesis::master thesisthesis:47266