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The Impact of Ethical Ratings on Canadian Security Performance: Portfolio Management and Corporate Governance Implications

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Author Info
Klaus Fischer
Nabil Khoury

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Abstract

One approach that is gaining in popularity among portfolio managers uses ethical ratings, published by specialized research organizations, to screen securities for portfolio selection. Portfolio managers can thus gain a better understanding of the phenomenon and adopt a better and more consistent approach to ethical investment. By the same token, board of directors can measure the impact of their ethical policies on the market performance of the stock of their company. This paper provides new evidence about the impact of ethical ratings published in Canada on the risk-adjusted returns of the securities concerned, within the framework of a multi-factor Capital Asset Pricing Model, and gives an interpretation of the results from the perspective of portfolio composition and of corporate governance.

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Paper provided by CIRPEE in its series Cahiers de recherche with number 0501.

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Date of creation: 2005
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Handle: RePEc:lvl:lacicr:0501

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Related research
Keywords: Ethical Ratings and Security Performance;

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Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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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.:
  1. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February. [Downloadable!] (restricted)
  2. Diltz, J David, 1995. "The Private Cost of Socially Responsible Investing," Applied Financial Economics, Taylor and Francis Journals, vol. 5(2), pages 69-77, April. [Downloadable!] (restricted)
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This page was last updated on 2009-11-30.

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