An Empirical Study of the World Price of Sustainability
The core goal of this study is to empirically investigate whether there is a “world price” of corporate sustainability. This is assessed in the context of standard asset pricing models—in particular, by asking whether a risk premium attaches to a sustainability factor after controlling for the Fama–...
| Auteurs: | ; ; ; |
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| Type de support: | Électronique Article |
| Langue: | Anglais |
| Vérifier la disponibilité: | HBZ Gateway |
| Interlibrary Loan: | Interlibrary Loan for the Fachinformationsdienste (Specialized Information Services in Germany) |
| Publié: |
2013
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| Dans: |
Journal of business ethics
Année: 2013, Volume: 114, Numéro: 2, Pages: 297-310 |
| Sujets non-standardisés: | B
Sustainability
B World price B Fama–French model B Global equities B Corporate Social Performance |
| Accès en ligne: |
Volltext (JSTOR) Volltext (lizenzpflichtig) |
| Résumé: | The core goal of this study is to empirically investigate whether there is a “world price” of corporate sustainability. This is assessed in the context of standard asset pricing models—in particular, by asking whether a risk premium attaches to a sustainability factor after controlling for the Fama–French factors. Both time-series and cross-sectional tests are formulated and applied. The results show that (1) global Fama–French factors have strong power to explain global equity returns and (2) sustainability investments have no significant impact on global equity returns. The absence of a significant relationship between sustainability and returns implies that large institutional investors are free to implement sustainability mandates without fear of breaching their fiduciary duties from realising negative returns due to incorporating a sustainability investment process. |
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| ISSN: | 1573-0697 |
| Contient: | Enthalten in: Journal of business ethics
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| Persistent identifiers: | DOI: 10.1007/s10551-012-1342-2 |
