Study of the materiality of the transition risk assessed by the NEC

Scientific project

The objectives of the project are to:

Study the importance of the NEC factor in explaining the outperformance of the stocks rated within 5 benchmarks:

  • MSCI World DM
  • MSCI Europe
  • Stoxx Europe 600
  • CAC All Tradeable
  • CAC-40

Compare this factor to 7 biases: sector plus 6 common factors of performance attribution by “factors”:

  • Sector
  • Capitalisation Size
  • Volatility
  • Trend
  • Yield
  • Valorisation
  • Quality

Expand the study for other indicators such as the GreenFin category.

Scientific officers

Louis Boulanger
Louis Boulanger
See CV
Driss Lamrani
Driss Lamrani
See CV

Partenaires économiques