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

Author

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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.

Suggested Citation

  • Klaus Fischer & Nabil Khoury, 2005. "The Impact of Ethical Ratings on Canadian Security Performance: Portfolio Management and Corporate Governance Implications," Cahiers de recherche 0501, CIRPEE.
  • Handle: RePEc:lvl:lacicr:0501
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    File URL: http://www.cirpee.org/fileadmin/documents/Cahiers_2005/CIRPEE05-01.pdf
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    References listed on IDEAS

    as
    1. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 112-134.
    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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    Cited by:

    1. repec:kap:jbuset:v:148:y:2018:i:3:d:10.1007_s10551-015-2949-x is not listed on IDEAS
    2. Sebastian Lobe & Christian Walkshäusl, 2016. "Vice versus virtue investing around the world," Review of Managerial Science, Springer, vol. 10(2), pages 303-344, March.
    3. Sebastian Lobe & Christian Walkshäusl, 2016. "Vice versus virtue investing around the world," Review of Managerial Science, Springer, vol. 10(2), pages 303-344, March.

    More about this item

    Keywords

    Ethical Ratings and Security Performance;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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