IDEAS home Printed from https://ideas.repec.org/a/fzy/fuzeco/vxviiiy2013i1p37-59.html
   My bibliography  Save this article

An Assessment Of Abnormal Returns And Risk In Socially Responsible Firms Using Fuzzy Alpha Jensen And Fuzzy Beta

Author

Listed:
  • Cortez Alejandro, Klender Aimer

    (Universidad Autónoma de Nuevo León, Facultad de Contaduría Pública y Administración)

  • Rodríguez García, Martha del Pilar

    (Universidad Autónoma de Nuevo León, Facultad de Contaduría Pública y Administración)

  • Méndez Sáenz, Berenice

    (Universidad Autónoma de Nuevo León, Facultad de Contaduría Pública y Administración)

Abstract

This study analyzes the differences in financial performance and risk between sustainable firms and non-sustainable firms through the use of a fuzzy Jensen’s alpha and a fuzzy beta to measure abnormal returns and systematic risk, respectively. The sample consisted of 644 firms from OECD countries: Australia, Denmark, Spain, US, Finland, UK, Japan, Mexico, Norway, Sweden and Switzerland from 2008 to 2011. We compared two different methodologies to measure the Jensen’s alpha and the beta, namely, ordinary least squares and Fuzzy Regression. Considering the sample, our results demonstrate that there is no difference between sustainable firms and not sustainable firms in the possibility of obtaining abnormal returns and risk. However, we found evidence that sustainable firms have more possibilities of obtain abnormal return than non sustainable firms in the case of United States and Norway. On the other hand, the results suggest that sustainable firms have less risk than no sustainable firms in Spain and Australia. Finally, we mention the Corporate Social Responsibility (CSR) trends in the world capital market to emphasize the importance of the disclosure of nonfinancial issues as a part of the process of generating long-term sustainability profits and lower risk.

Suggested Citation

  • Cortez Alejandro, Klender Aimer & Rodríguez García, Martha del Pilar & Méndez Sáenz, Berenice, 2013. "An Assessment Of Abnormal Returns And Risk In Socially Responsible Firms Using Fuzzy Alpha Jensen And Fuzzy Beta," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(1), pages 37-59, May.
    • Handle: RePEc:fzy:fuzeco:v:xviii:y:2013:i:1:p:37-59
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    Corporate Social Responsibility; Fuzzy Alpha Jensen; Fuzzy Beta; OECD;
    All these keywords.

    JEL classification:

    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fzy:fuzeco:v:xviii:y:2013:i:1:p:37-59. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Aurelio Fernandez (email available below). General contact details of provider: https://edirc.repec.org/data/sigefea.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.