IDEAS home Printed from https://ideas.repec.org/p/hhb/sicgwp/2007_004.html
   My bibliography  Save this paper

Portfolio performance and environmental risk

Author

Listed:

Abstract

This 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.

Suggested Citation

  • Olsson, Rickard, 2007. "Portfolio performance and environmental risk," Sustainable Investment and Corporate Governance Working Papers 2007/4, Sustainable Investment Research Platform.
  • Handle: RePEc:hhb:sicgwp:2007_004
    as

    Download full text from publisher

    File URL: http://web.abo.fi/fak/esf/fei/redovisa/kurser/Lasse/Mistra%20wp/sirp%20wp%2007-04%20-%20olsson.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. Semenova, Natalia, 2010. "Corporate Environmental Performance: Consistency of Metrics and Identification of Drivers," Sustainable Investment and Corporate Governance Working Papers 2010/9, Sustainable Investment Research Platform.
    2. Teresa Czerwinska, 2012. "The effectiveness of Social Responsible Investment on the stock market (Efektywnosc inwestycji spolecznie odpowiedzialnych na rynku akcji)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 10(39), pages 129-140.

    More about this item

    Keywords

    Socially responsible investment; environmental risk; portfolio performance evaluation;

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:hhb:sicgwp:2007_004. 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: (Pontus Cerin). General contact details of provider: http://edirc.repec.org/data/iikthse.html .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.