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Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection

Author

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  • Florian Mueller

    (Faculty of Economic Sciences, University of Warsaw)

Abstract

This study examines the linkage between corporate social responsibility and stock market returns in the USA, Canada, Germany, the United Kingdom and Switzerland. Concentrating on corporate disclosure and corporate eco-efficiency, we find mostly mixed results by employing factor performance attribution models. A theoretical framework to model the real underlying relation is presented.

Suggested Citation

  • Florian Mueller, 2014. "Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection," Working Papers 2014-02, Faculty of Economic Sciences, University of Warsaw.
    • Handle: RePEc:war:wpaper:2014-02
    as

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    File URL: http://www.wne.uw.edu.pl/inf/wyd/WP/WNE_WP119.pdf
    File Function: First version, 2014
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    References listed on IDEAS

    as
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    Cited by:

    1. Abdulsamad Alazzani & Wan Nordin Wan-Hussin & Michael Jones & Ahmed Al-hadi, 2021. "ESG Reporting and Analysts’ Recommendations in GCC: The Moderation Role of Royal Family Directors," JRFM, MDPI, vol. 14(2), pages 1-21, February.

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    More about this item

    Keywords

    Corporate Social Responsibility; Corporate Sustainability; Corporate Disclosure; Eco-Efficiency; Environmental Performance; Asset Pricing Models; Performance Evaluation; Portfolio Analysis; ESG (environmental; social; governance); Asset Selection;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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