Article (Scientific journals)
Corporate sustainability in asset pricing models and mutual funds performance measurement
Walker, Thomas; Lopatta, Kerstin; Kaspereit, Thomas
2014In Financial Markets and Portfolio Management, 28 (4), p. 363-407
Peer reviewed
 

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Keywords :
Asset pricing; Corporate sustainability; Factor models
Abstract :
[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.
Disciplines :
Finance
Author, co-author :
Walker, Thomas;  John Molson School of Business > Finance
Lopatta, Kerstin ;  University of Luxembourg > Faculty of Law, Economics and Finance (FDEF)
Kaspereit, Thomas ;  University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA)
External co-authors :
yes
Language :
English
Title :
Corporate sustainability in asset pricing models and mutual funds performance measurement
Publication date :
2014
Journal title :
Financial Markets and Portfolio Management
ISSN :
1555-497X
Publisher :
Springer Boston
Volume :
28
Issue :
4
Pages :
363-407
Peer reviewed :
Peer reviewed
Focus Area :
Sustainable Development
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