Portfolio performance and environmental risk
AbstractThis paper examines the performance of US stock portfolios constructed and rebalanced to have different environmental (EV) risk. EV risk is proxied by EV risk ratings from GES Investment Services. Portfolios with high EV risk generate higher raw returns than low EV risk portfolios, but when risk and other factors are controlled for using the three Fama-French factors and a momentum factor, the risk-adjusted returns of both high and low EV risk portfolios are not statistically different from zero. The evidence thus indicate that a portfolio of stocks with low EV risk, intended to be more responsible, neither underperform or outperform on a risk-adjusted basis.
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Bibliographic InfoPaper provided by Sustainable Investment Research Platform in its series Sustainable Investment and Corporate Governance Working Papers with number 2007/4.
Length: 6 pages
Date of creation: 24 Nov 2007
Date of revision:
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Postal: Economics of Corporate Sustainability Management, Department of Industrial Economics and Management, Royal Institute of Technology, SE-100 44 Stockholm, SWEDEN
Phone: 08-790 78 61
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Web page: http://www.sirps.se
More information through EDIRC
Socially responsible investment; environmental risk; portfolio performance evaluation;
This paper has been announced in the following NEP Reports:
- NEP-AGR-2008-05-24 (Agricultural Economics)
- NEP-ALL-2008-05-24 (All new papers)
- NEP-EFF-2008-05-24 (Efficiency & Productivity)
- NEP-ENV-2008-05-24 (Environmental Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Derwall, Jeroen & Guenster, Nadja & Bauer, Rob & Koedijk, Kees, 2005.
"The eco-efficiency premium puzzle,"
Open Access publications from Maastricht University
urn:nbn:nl:ui:27-19331, Maastricht University.
- Derwall, J.M.M. & GÃ¼nster, N.K. & Bauer, R. & Koedijk, C.G., 2004. "The Eco-Efficiency Premium Puzzle," Research Paper ERS-2004-043-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
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