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.