Advanced Search
MyIDEAS: Login

Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective

Contents:

Author Info

  • Darren D. Lee
  • Robert W. Faff

Abstract

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1540-6288.2009.00216.x
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Eastern Finance Association in its journal Financial Review.

Volume (Year): 44 (2009)
Issue (Month): 2 (05)
Pages: 213-237

as in new window
Handle: RePEc:bla:finrev:v:44:y:2009:i:2:p:213-237

Contact details of provider:
Web page: http://www.easternfinance.org/
More information through EDIRC

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0732-8516

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Adrian Wai Kong Cheung, 2011. "Do Stock Investors Value Corporate Sustainability? Evidence from an Event Study," Journal of Business Ethics, Springer, vol. 99(2), pages 145-165, March.
  2. Goss, Allen & Roberts, Gordon S., 2011. "The impact of corporate social responsibility on the cost of bank loans," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1794-1810, July.
  3. Hoje Jo & Haejung Na, 2012. "Does CSR Reduce Firm Risk? Evidence from Controversial Industry Sectors," Journal of Business Ethics, Springer, vol. 110(4), pages 441-456, November.
  4. Yuchao Xiao & Robert Faff & Philip Gharghori & Darren Lee, 2013. "An Empirical Study of the World Price of Sustainability," Journal of Business Ethics, Springer, vol. 114(2), pages 297-310, May.
  5. Najah Attig & Sadok El Ghoul & Omrane Guedhami & Jungwon Suh, 2013. "Corporate Social Responsibility and Credit Ratings," Journal of Business Ethics, Springer, vol. 117(4), pages 679-694, November.
  6. Kangtao Ye & Ran Zhang, 2011. "Do Lenders Value Corporate Social Responsibility? Evidence from China," Journal of Business Ethics, Springer, vol. 104(2), pages 197-206, December.
  7. Bouslah, Kais & Kryzanowski, Lawrence & M’Zali, Bouchra, 2013. "The impact of the dimensions of social performance on firm risk," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1258-1273.
  8. Jean-Michel Sahuta & Sandrine Boulerne & Medhi Mili & Frédéric Teulon, 2014. "What Relation Exists Between Corporate Social Responsibility (Csr) And Longevity Of Firms?," Working Papers 2014-248, Department of Research, Ipag Business School.
  9. W. K. Adrian Cheung & Eduardo Roca, 2010. "Do Pacific Basin Investors Value Corporate Sustainability?," Discussion Papers in Finance finance:201016, Griffith University, Department of Accounting, Finance and Economics.
  10. Humphrey, Jacquelyn E. & Lee, Darren D. & Shen, Yaokan, 2012. "Does it cost to be sustainable?," Journal of Corporate Finance, Elsevier, vol. 18(3), pages 626-639.
  11. Nandy, Monomita & Lodh, Suman, 2012. "Do banks value the eco-friendliness of firms in their corporate lending decision? Some empirical evidence," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 83-93.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:finrev:v:44:y:2009:i:2:p:213-237. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.