Abstract
This study explores whether corporate sustainability is a relevant factor in multifactor asset pricing models. It contributes to the literature on asset pricing, as well as to the literature that examines how sustainability impacts capital markets, by constructing a new factor that captures differences in the returns of sustainable and non-sustainable firms. Specifically, it examines whether an additional sustainability factor has explanatory power in asset pricing models that include size, book-to-market equity, and momentum factors. This research has practical implications for the performance measurement of portfolios and mutual funds that are managed in accordance with sustainability criteria in that it disentangles general stock-picking skills from the differences in returns between sustainable and non-sustainable stocks.
| Original language | English |
|---|---|
| Pages (from-to) | 363-407 |
| Journal | Financial Markets and Portfolio Management |
| Volume | 28 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 24 Oct 2014 |
| Externally published | Yes |
Bibliographical note
Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 9 Industry, Innovation, and Infrastructure -
SDG 12 Responsible Consumption and Production
Research Keywords
- Asset pricing
- Corporate sustainability
- Factor models
- Mutual funds
- Performance measurement
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