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The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by University of Strathclyde researchers, including by Strathclyde researchers from the Department of Computer & Information Sciences involved in researching exciting new applications for mobile and smartphone technology. But the transformative application of mobile technologies is also the focus of research within disciplines as diverse as Electronic & Electrical Engineering, Marketing, Human Resource Management and Biomedical Enginering, among others.

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Corporate sustainability performance and idiosyncratic risk : a global perspective

Lee, Darren D. and Faff, Robert (2009) Corporate sustainability performance and idiosyncratic risk : a global perspective. Financial Review, 44 (2). pp. 213-237. ISSN 0732-8516

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Abstract

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.