Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective
Does investing in sustainability leaders affect portfolio performance? Analyzing two mutually exclusive leading and lagging global corporate sustainability portfolios (Dow Jones) finds that (1) leading sustainability firms do not underperform the market portfolio, and (2) their lagging counterparts...
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| Veröffentlicht in: | The Financial review (Buffalo, N.Y.) N.Y.), 2009-05, Vol.44 (2), p.213-237 |
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| container_end_page | 237 |
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| container_issue | 2 |
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| container_title | The Financial review (Buffalo, N.Y.) |
| container_volume | 44 |
| creator | Lee, Darren D. Faff, Robert W. |
| description | Does investing in sustainability leaders affect portfolio performance? Analyzing two mutually exclusive leading and lagging global corporate sustainability portfolios (Dow Jones) finds that (1) leading sustainability firms do not underperform the market portfolio, and (2) their lagging counterparts outperform the market portfolio and the leading portfolio. Notably, we find leading (lagging) corporate social performance (CSP) firms exhibit significantly lower (higher) idiosyncratic risk and that idiosyncratic risk might be priced by the broader global equity market. We develop an idiosyncratic risk factor and find that its inclusion significantly reduces the apparent difference in performance between leading and lagging CSP portfolios. |
| doi_str_mv | 10.1111/j.1540-6288.2009.00216.x |
| format | Article |
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| identifier | ISSN: 0732-8516 |
| ispartof | The Financial review (Buffalo, N.Y.), 2009-05, Vol.44 (2), p.213-237 |
| issn | 0732-8516 1540-6288 |
| language | eng |
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| source | Access via Wiley Online Library; EBSCOhost Business Source Complete |
| subjects | best of sector corporate financial performance corporate social performance G11 G30 global evidence idiosyncratic risk Portfolio performance Q56 Risk factors Social responsibility Studies Sustainability |
| title | Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective |
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