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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.

Item type: Article
ID code: 41063
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
Related URLs:
    Depositing user: Pure Administrator
    Date Deposited: 10 Sep 2012 15:53
    Last modified: 05 Sep 2014 17:39
    URI: http://strathprints.strath.ac.uk/id/eprint/41063

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