Lee, Darren D. and Faff, Robert (2009) Corporate sustainability performance and idiosyncratic risk : a global perspective. Financial Review, 44 (2). pp. 213-237. ISSN 0732-8516Full text not available in this repository. (Request a copy from the Strathclyde author)
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.
|Keywords:||corporate sustainability performance , idiosyncratic risk , global perspective, sustainability, best of sector, global evidence, corporate financial performance, corporate social performance, Accounting, Finance, Economics and Econometrics|
|Subjects:||Social Sciences > Commerce > Accounting|
|Department:||Strathclyde Business School > Accounting and Finance|
|Depositing user:||Pure Administrator|
|Date Deposited:||10 Sep 2012 14:53|
|Last modified:||22 Mar 2017 12:18|