Corporate sustainability in asset pricing models and mutual funds performance measurement

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

4 Scopus Citations
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Original languageEnglish
Pages (from-to)363-407
Journal / PublicationFinancial Markets and Portfolio Management
Issue number4
Publication statusPublished - 24 Oct 2014
Externally publishedYes


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.

Research Area(s)

  • Asset pricing, Corporate sustainability, Factor models, Mutual funds, Performance measurement

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