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

Florian Mueller ()
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Florian Mueller: Faculty of Economic Sciences, University of Warsaw

No 2014-02, Working Papers from 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.

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 (search for similar items in EconPapers)
JEL-codes: C51 G11 G15 G17 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2014
New Economics Papers: this item is included in nep-env and nep-sog
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.wne.uw.edu.pl/inf/wyd/WP/WNE_WP119.pdf First version, 2014 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:war:wpaper:2014-02

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