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

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  • Klaus Fischer
  • Nabil Khoury

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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File URL: http://www.cirpee.org/fileadmin/documents/Cahiers_2005/CIRPEE05-01.pdf
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Bibliographic Info

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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Keywords: Ethical Ratings and Security Performance;

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  1. J. A. Hausman, 1976. "Specification Tests in Econometrics," Working papers 185, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. 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.
  3. Robert D. Klassen & Curtis P. McLaughlin, 1996. "The Impact of Environmental Management on Firm Performance," Management Science, INFORMS, vol. 42(8), pages 1199-1214, August.
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