Abstract Does investing in sustainability leaders affect portfolio performance? Analyzing two mutually exclusive leading and lagging global corporate portfolios (Dow Jones) finds that (1) firms do not underperform the market portfolio, (2) their counterparts outperform portfolio. Notably, we find (lagging) social performance (CSP) exhibit significantly lower (higher) idiosyncratic risk might be priced by broader equity market. We develop an factor its inclusion reduces apparent difference...

The empirical evidence documenting the association between a firm's level of corporate social performance (CSP) and financial (CFP) remains divided. This paper reinvestigates CSP/CFP using more rigorous methodology whilst taking advantage superior measure CSP. In contrast to findings much prior research, market-based tests suggest negative CSP CFP, while accounting indicate no exists. We that market relation should not be interpreted as having value. Rather, our results may leading firms...

Abstract Perhaps the most common criticism of socially responsible investment funds is that imposing non‐financial screens restricts opportunities, reduces diversification efficiencies and thereby adversely impacts performance. In this study we investigate proposition test whether number employed has a linear or curvilinear relation with return. Moreover, analyse link between screening intensity risk. Screening no effect on unadjusted (raw) returns idiosyncratic However, find significant...

We investigate the effect of environmental, social and governance factors on financial performance UK firms. examine three separately to disentangle relation each with performance. find no difference in firms high or low rankings. The also do not differ their systematic risks, book-to-market ratios momentum exposures. However, high-rated are consistently larger. Our findings demonstrate that investors can incorporate criteria into investment strategies without incurring any significant cost...

Purpose The purpose of this paper is to examine whether portfolios comprising high‐ranked corporate social performance (CSP) firms out/underperform comprised low‐ranked CSP firms. authors employed a US sample covering the period 1998‐2007. Design/methodology/approach In context Fama and French model augmented by momentum industry factors, test significance alpha for difference portfolio, defined as minus stocks. Findings results are consistent with “no‐linkage” hypothesis, which argues that...

Abstract We find compelling evidence that integrating environment, social and governance (ESG) analyses into ongoing investment practices in Australia does not harm risk‐adjusted returns. High‐ESG‐rated portfolios consistently provide superior outperformance, diversification efficiencies, lower overall risk compared to low‐ESG‐rated portfolios. In contrast low‐rated portfolios, we no high‐ESG‐rated underperform the market. All results remain robust alternative time periods, market cycles,...