The risk-return tradeoff: are sustainable investors compensated adequately?
dc.contributor.author | Bannier, Christina E. | |
dc.contributor.author | Bofinger, Yannik | |
dc.contributor.author | Rock, Björn | |
dc.date.accessioned | 2023-12-07T15:09:30Z | |
dc.date.available | 2023-12-07T15:09:30Z | |
dc.date.issued | 2023 | |
dc.description.abstract | We investigate the returns from investing according to corporate social responsibility (CSR) criteria using factor model estimations for a large sample of U.S. firms over the period 2003–2017. To identify the CSR intensity that allows investors to optimize their portfolio returns for a given amount of risk, we relate factor-adjusted portfolio returns to a variety of risk measures. This consideration is important as equity risks have been shown to significantly decrease with CSR. Surprisingly, our results indicate that the lowest CSR-rated portfolios are able to outperform their higher CSR-rated counterparts: Not only do they show higher factor-adjusted returns but they also deliver higher return-to-risk ratios. This indicates that equity returns in our sample decrease even more strongly than the corresponding risks with rising CSR activity. | |
dc.identifier.uri | https://jlupub.ub.uni-giessen.de//handle/jlupub/18792 | |
dc.identifier.uri | http://dx.doi.org/10.22029/jlupub-18156 | |
dc.language.iso | en | |
dc.rights | Namensnennung 4.0 International | |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
dc.subject.ddc | ddc:330 | |
dc.title | The risk-return tradeoff: are sustainable investors compensated adequately? | |
dc.type | article | |
local.affiliation | FB 02 - Wirtschaftswissenschaften | |
local.source.epage | 172 | |
local.source.journaltitle | The journal of asset management | |
local.source.spage | 165 | |
local.source.uri | https://doi.org/10.1057/s41260-023-00303-6 | |
local.source.volume | 24 |
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