Purpose

The primary objective of this study is to analyze the performance and risk characteristics of portfolios composed of Spanish family businesses (FBs) when sustainability and quality factors are taken into account. By comparing different portfolio compositions against a benchmark, the study aims to provide insights into the impact of these factors on portfolio performance.

Design/methodology/approach

This study employs an empirical approach to evaluate the performance and risk of portfolios consisting of Spanish family businesses (FBs) by incorporating sustainability and quality factors. It compares the results of various portfolios against a benchmark, utilizing GARCH models and the extended six-factor model of Fama and French for the period 2018–2023.

Findings

The findings reveal that investing in Spanish family businesses (FBs) yields higher returns compared to the index, with portfolios incorporating quality factors demonstrating superior performance. However, the inclusion of sustainability factors negatively affects portfolio performance. These results highlight the significance of considering sustainability and quality factors in portfolio construction and investment decisions.

Originality/value

This study contributes to the existing literature by examining the performance and risk implications of incorporating sustainability and quality factors into portfolios of family businesses. The findings offer valuable insights for investors and managers interested in constructing portfolios or developing financial products that balance risk and return effectively.

中文翻译：

---

西班牙家族企业投资组合绩效评估

目的

本研究的主要目的是分析由西班牙家族企业 (FB) 组成的投资组合在考虑可持续性和质量因素时的绩效和风险特征。通过将不同的投资组合构成与基准进行比较，该研究旨在深入了解这些因素对投资组合绩效的影响。

设计/方法论/途径

本研究采用实证方法，通过纳入可持续性和质量因素来评估由西班牙家族企业 (FB) 组成的投资组合的绩效和风险。它利用 2018-2023 年期间的 GARCH 模型以及 Fama 和 French 的扩展六因子模型，将各种投资组合的结果与基准进行比较。

发现

调查结果显示，与指数相比，投资西班牙家族企业 (FB) 可获得更高的回报，且纳入质量因素的投资组合显示出卓越的业绩。然而，纳入可持续性因素会对投资组合绩效产生负面影响。这些结果凸显了在投资组合构建和投资决策中考虑可持续性和质量因素的重要性。

原创性/价值

这项研究通过研究将可持续性和质量因素纳入家族企业投资组合的绩效和风险影响，为现有文献做出了贡献。研究结果为有兴趣构建投资组合或开发有效平衡风险和回报的金融产品的投资者和管理者提供了宝贵的见解。