Reference : Corporate Sustainability in Asset Pricing Models and Mutual Funds Performance Measurement
Scientific journals : Article
Business & economic sciences : Finance
Sustainable Development
http://hdl.handle.net/10993/28447
Corporate Sustainability in Asset Pricing Models and Mutual Funds Performance Measurement
English
Walker, Thomas [John Molson School of Business > Finance]
Lopatta, Kerstin mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > >]
Kaspereit, Thomas mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
2014
Financial Markets and Portfolio Management
Springer Boston
28
4
363-407
Yes
International
1555-4961
1555-497X
[en] Asset pricing ; Corporate sustainability ; Factor models
[en] 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.
http://hdl.handle.net/10993/28447
10.1007/s11408-014-0237-x

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