English, Article edition: Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective Darren D. Lee; Robert W. Faff

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Bookmark: http://trove.nla.gov.au/version/108354
Physical Description
  • article
Language
  • English

Edition details

Title
  • Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective
Author
  • Darren D. Lee
  • Robert W. Faff
Physical Description
  • article
Notes
  • 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. Copyright (c) 2009, The Eastern Finance Association.
  • RePEc:bla:finrev:v:44:y:2009:i:2:p:213-237
Language
  • English
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