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Der Einfluss ökologischer und sozialer Nachhaltigkeit auf den Shareholder Value europäischer Aktiengesellschaften

  • Schröder, Michael
  • Rennings, Klaus
  • Ziegler, Andreas

Dieses Papier betrachtet den Effekt der Umwelt- und Sozialperformance europäischer Unternehmen auf deren Shareholder Value. Der Shareholder Value wird dabei mit der durchschnittlichen monatlichen Aktienrendite zwischen 1996 und 2001 operationalisiert. Die Studie basiert auf zweistufigen ökonometrischen Verfahren, die neuere finanzökonomische Erkenntnisse (insbesondere auch das Multifaktormodell nach Fama und French, 1993) einbeziehen. Die Abbildung der Nachhaltigkeit erfolgt einerseits durch eine Bewertung der ökologischen und sozialen Risiken der Branche, in der das Unternehmen wirtschaftet, andererseits durch eine Beurteilung der ökologischen und sozialen Aktivitäten eines Unternehmens im Vergleich zu den anderen Unternehmen derselben Branche. Es ergibt sich ein signifikant positiver Einfluss einer hohen Umweltperformance der Branche, in der das Unternehmen tätig ist, auf den Shareholder Value. Eine entsprechend hohe soziale Nachhaltigkeit der Branche besitzt demgegenüber einen negativen Einfluss auf die durchschnittliche monatliche Aktienrendite, allerdings ist dieser Effekt teilweise weniger signifikant. Für die Variablen der unternehmerischen ökologischen und sozialen Aktivitäten im Vergleich zu den anderen Unternehmen der Branche kann kein signifikanter Effekt auf den Shareholder Value abgeleitet werden.

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Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 02-32.

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Date of creation: 2002
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Handle: RePEc:zbw:zewdip:865
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  1. Khanna, Madhu & Quimio, Wilma Rose H. & Bojilova, Dora, 1998. "Toxics Release Information: A Policy Tool for Environmental Protection," Journal of Environmental Economics and Management, Elsevier, vol. 36(3), pages 243-266, November.
  2. Konar, Shameek & Cohen, Mark A., 1997. "Information As Regulation: The Effect of Community Right to Know Laws on Toxic Emissions," Journal of Environmental Economics and Management, Elsevier, vol. 32(1), pages 109-124, January.
  3. 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.
  4. 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.
  5. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  6. Shameek Konar & Mark A. Cohen, 2001. "Does The Market Value Environmental Performance?," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 281-289, May.
  7. Hamilton James T., 1995. "Pollution as News: Media and Stock Market Reactions to the Toxics Release Inventory Data," Journal of Environmental Economics and Management, Elsevier, vol. 28(1), pages 98-113, January.
  8. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
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