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Financial Implications of South African Divestment
... With respect to papers that demonstrated similar performance, the mean sampling period was nine years; the shortest, two years (2000)(2001)(2002), was reported by Schröder (2004) and the longest, 22 years , was noted by Mill (2006). In contrast, studies found that SRIs outperformed their counterparts, the mean sampling period O. AitElMekki was eight years; the shortest period, one year (1999), was identified in Epstein & Schnietz (2002) and the longest period, 23 years, was reported by two studies Grossman & Sharpe (1986) and Ibikunle & Steffen (2017). In the latter case, sampling periods were 1960-1983 and 1991-2014, respectively. ...
... Sampling period (Luther et al., 1992) 1984-1990(Hamilton et al., 1993) 1981-1990(Luther & Matatko, 1994) 1985-1992(Mallin et al., 1995) 1986(Guerard, 1997) 1987-1996(Sauer, 1997) 1986-1994(Gregory et al., 1997 1986-1994 (Goldreyer & Diltz, 1999) 1981(Teoh et al., 1999) 1986-1989(Cummings, 2000 1986-1996 (Statman, 2000) 1990-1998 (Schröder, 2004) 2000-2002 1990-2001 (Bello, 2005) 1994(Kreander et al., 2005) 1995(Bauer et al., 2006) 1992(Mill, 2006) 1982(Lozano et al., 2006(Bauer et al., 2007) 1994(Renneboog et al., 2008) 1991(Cengiz et al., 2010) 1991(Humphrey & Lee, 2011) 1996(Leite & Cortez, 2014 2000-2008 (Syed, 2017(Reddy et al., 2017 (Sorted by publication date); Source: Author's survey. (Mueller, 1991) 1984-1988(Teper, 1992) 1979-1989(Kahn et al., 1997) 1987-1996(Miglietta, 2004) 1996(Geczy et al., 2005(Jones et al., 2008) 1986-2005(Jégourel & Maveyraud, 2008(Hong & Kostovetsky, 2012(El Ghoul & Karoui, 2017 2003-2011 (Gangi & Varrone, 2018) 2009-2014 (Azmi et al., 2019) 2002-2013 (Kiymaz, 2019b(Kiymaz, ) 1995(Kiymaz, -2015 (Sorted by publication date); Source: Author's survey. ...
... Sampling period (Luther et al., 1992) 1984-1990(Hamilton et al., 1993) 1981-1990(Luther & Matatko, 1994) 1985-1992(Mallin et al., 1995) 1986(Guerard, 1997) 1987-1996(Sauer, 1997) 1986-1994(Gregory et al., 1997 1986-1994 (Goldreyer & Diltz, 1999) 1981(Teoh et al., 1999) 1986-1989(Cummings, 2000 1986-1996 (Statman, 2000) 1990-1998 (Schröder, 2004) 2000-2002 1990-2001 (Bello, 2005) 1994(Kreander et al., 2005) 1995(Bauer et al., 2006) 1992(Mill, 2006) 1982(Lozano et al., 2006(Bauer et al., 2007) 1994(Renneboog et al., 2008) 1991(Cengiz et al., 2010) 1991(Humphrey & Lee, 2011) 1996(Leite & Cortez, 2014 2000-2008 (Syed, 2017(Reddy et al., 2017 (Sorted by publication date); Source: Author's survey. (Mueller, 1991) 1984-1988(Teper, 1992) 1979-1989(Kahn et al., 1997) 1987-1996(Miglietta, 2004) 1996(Geczy et al., 2005(Jones et al., 2008) 1986-2005(Jégourel & Maveyraud, 2008(Hong & Kostovetsky, 2012(El Ghoul & Karoui, 2017 2003-2011 (Gangi & Varrone, 2018) 2009-2014 (Azmi et al., 2019) 2002-2013 (Kiymaz, 2019b(Kiymaz, ) 1995(Kiymaz, -2015 (Sorted by publication date); Source: Author's survey. ...
... On the contrary, the studies by Margolis and Walsh (2003) and Orlitzky et al. (2003) showed that greater portfolio allocation to stocks of corporations that showed greater CSR were associated with better financial performance. Other studies that have compared the performance of SRI indices with conventional market indices after removing the companies with low social records have found that the performances of social indices are similar to the performances of broad market indices (Grossman & Sharpe, 1986;Sauer, 1997;Statman, 2006). ...
... We chose funds that are US-domiciled for this study. Similar to the methodology suggested in previous studies (Grossman & Sharpe, 1986;Sauer, 1997;Statman, 2006), SRMFs with low social performance ratings were excluded, and only SRMFs in the top half of the SRI category in the Morningstar® database were examined. Specifically, to focus on the long-term consequences of allocating into SRMF for individual investors, this study focuses narrowly on the surviving funds over the 2005-2016 period. ...
This study uses the Fama-French 5-factor model to examine the risk-adjusted performances of Socially Responsible Mutual Funds (SRMF) relative to the market over a 12-year (2005–2016) period. The timeframe of this study overlaps the periods leading up to, during, and immediately past the Great Recession. This study also examines whether the Environmental, Social, and Governance (ESG) ratings assigned to the SRMF signal fund performance over time. The results indicate that although the SRMF underperformed in the market during the 2005–2016 period, there was no difference in the SRMF performance with respect to the market during the Great Recession period. Furthermore, our results indicate that the SRMF with higher ESG ratings outperformed the SRMF with lower ESG ratings during the Great Recession period. Implications of this study’s findings for investment analysts, portfolio managers, and financial planners are included.
... The second line of studies on socially responsible investing argue that because ethical and moral screening may impose an additional set of constraints on the investors it will likely affect the characteristics of the assets they include in the portfolio, the portfolio diversification and portfolio performance. These studies include Rudd (1981), Grossman and Sharp (1986), Hall (1986) and Diltz (1995). Rudd (1981) in addition argues that socially responsible investing introduces size bias with consequent deterioration in the run performance. ...
... Chow (1999) also argues that social and environmental filters would move investors away from investment in oldline industrial manufacturers leading to a bias in socially screened portfolio towards high tech and growth investments. Grossman and Sharp (1986) also argue that any constraint placed on any decision can only lower or leave unchanged the maximum utility that can be obtained. Ahmed and find that application of social screens does not have an effect on the investment performance. ...
This study reexamines the controversy surrounding “Doing well while doing well” debate within the investment literature. We retest whether investors who are dedicated to socially responsible investing will realize additional returns or will be penalized for their investment philosophy. We control for the size bias and sector concentration bias that were identified in previous studies. Our findings indicate that there is no difference in performance between the socially responsible firms and their conventional counterparts. The Investors who chose to invest in socially responsible firms will not earn additional return nor will be penalized. The findings also suggest that there is no difference in the performance of socially responsible and conventional firms over long periods versus short periods. Our findings also indicate that the constraints that are placed on an investment decision would lower or leave unchanged the maximum utility that an investor may obtain.
... Ethical screening tends to eliminate large companies from the investment market, and as a result, the remaining companies tend to be smaller and have volatile returns (Hassan & Girard, 2010). Hence, investors who will allocate capital under their religious beliefs certainly want to know whether the portfolio selected through the Sharia-screening procedure shows a different performance relative to conventional portfolios since there are 'fears' that the Sharia-screened portfolios tend to perform poorer than conventional/unscreened ones (Grossman & Sharpe, 1986). Previous studies have shown some Sharia screening either from a qualitative or descriptive or quantitative point of view. ...
... Thus, the Sharia portfolio has a comparable performance with conventional portfolios. This is in contrast to the ever 'worrying' results, originating, inter alia, from Grossman and Sharpe (1986) and Bauer et al. (2006). ...
The aim of this study is to examine the comparative performance and volatility between Sharia and conventional portfolios listed on the Indonesia Stock Exchange (IDX) and to investigate the effect of quantitative (debt-ratio) screening on the Sharia-and-conventional-portfolios returns specifically applied in the selected public firms with the inter-industrial low-correlations. Applying a non-parametric test, the autoregressive integrated moving average (ARIMA) model, and the regression analysis, the results suggest that there is no difference in performance between Sharia and conventional portfolios; Sharia portfolios show the lower risks than conventional portfolios. Using quantitative Sharia-screening, the debt-to-equity ratio (DER) affects Sharia-portfolio returns, but not conventional-portfolio returns. This study contributes to providing country-specific evidence on applying quantitative Sharia-screening. Taking notice of the existing high-profile debt-ratio and applying the relatively loose standard of quantitative Sharia-screening for the public firms in Indonesia, this suggests that a country-specific quantitative Sharia-screening standard should be supported.
... This study aims to address the gap in research that compares the divestment campaigns. While there is research on the anti-Apartheid divestment movement (Arnold and Hammond 1994;Grossman and Sharpe 1986;Teoh, Welch, and Wazzan 1999) and some key studies about the newer fossil fuel divestment campaign (Ansar, Caldecott, and Tilbury 2013, 2;Brooks 2013;Grady-Benson 2014), there is an unexamined gap in research comparing both campaigns. ...
... Amongst other aims, divestment from South Africa aimed to raise public awareness against predominant multinational companies complicit with the ongoing apartheid, and to disclose those firms that ignored or even supported the injustice. In 1978, the Investor Responsibility Research Centre (IRRC) documented a comprehensive list of companies with direct investments in South Africa and of some banks with loans to the South African public sector, which has been used as a database for those advocating a complete divestment strategy from South Africa (Grossman and Sharpe 1986). ...
... This study aims to address the gap in research that compares the divestment campaigns. While there is research on the anti-Apartheid divestment movement (Arnold and Hammond 1994;Grossman and Sharpe 1986;Teoh, Welch, and Wazzan 1999) and some key studies about the newer fossil fuel divestment campaign (Ansar, Caldecott, and Tilbury 2013, 2;Brooks 2013;Grady-Benson 2014), there is an unexamined gap in research comparing both campaigns. ...
... Amongst other aims, divestment from South Africa aimed to raise public awareness against predominant multinational companies complicit with the ongoing apartheid, and to disclose those firms that ignored or even supported the injustice. In 1978, the Investor Responsibility Research Centre (IRRC) documented a comprehensive list of companies with direct investments in South Africa and of some banks with loans to the South African public sector, which has been used as a database for those advocating a complete divestment strategy from South Africa (Grossman and Sharpe 1986). ...
The University of Oxford’s Smith School of Enterprise and the Environment held a major academic conference on stranded assets and the environment on 24th-25th September 2015. Despite its growing prominence as a topic, there remains a great deal of confusion about: what stranded assets are; what assets might be affected; what drives stranding; how financial institutions and companies can manage the risk of stranded assets; what it means for policy makers and regulators; and how it links to climate change policy. To critically review and help formulate a better understanding of stranded assets the conference will bring together leading scholars and practitioners from a range of disciplines, including geography, economics, finance, management, political economy, and public policy. The conference helped provide much needed clarity as research on stranded assets gathers further momentum. My presentation shared co-authored research on "A Comparative Analysis of anti-Apartheid and Fossil-Free Divestment".
... Though climate change-related investment risks and divestment are discussed intensively in public and in the investment community, analyses of carbon-related financial risks did not find significant entrance into the academic research (Diaz-Rainey, Robertson, & Wilson, 2017). With regard to the effect of divestment in other fields, for instance, activities that addressed the South African apartheid regime, a number of studies exist suggesting mixed results with regard to financial and social impacts (Arnold & Hammond, 1994;Gosiger, 1986;Grossman & Sharpe, 1986;Kaempfer, Lehman, & Lowenberg, 1987;Lansing & Kuruvilla, 1988;Lytle & Joy, 1996;Montgomery & Thomas, 1988;Rudd, 1979). Though some similarities between the anti-apartheid divestment movement and the fossil fuel divestment movement exist (Hunt, Weber, & Dordi, 2017), results from the first cannot just be transferred to the latter, mainly because fossil fuel divestment can be driven by both ethical and financial reasons. ...
... Posnikoff (1997), for instance, found that U.S. firms, announcing divestment from South Africa, experienced an increase in their share price. Grossman and Sharpe (1986) suggested that excluding South African stock decreased the financial performance of a portfolio but that the increase of small stocks caused by divestment balanced the decrease. The question remains, however, whether results from the South African anti-apartheid divestment campaign can be applied to fossil fuel divestment. ...
Fossil fuel divestment is discussed controversially with regard to its financial consequences and its effect on decarbonizing the economy. Theory and empirical studies suggest arguments for both financial underperformance and outperformance of divestment. Therefore, our first research objective is to understand the financial effect of divestment. The second objective is to analyze the influence of divestment strategies on the carbon intensity of portfolios. Empirically, our analysis is based on the Canadian stock index TSX 260 for the time between 2011 and 2015. The results of the study suggest higher risk-adjusted returns and lower carbon intensity of the divestment strategies compared with the benchmark. We conclude that divestment is not only an ethical investment approach but also that it is able to address financial risks caused by climate change and, at the same time, is able to reduce the carbon exposure of investment portfolios.
... There are several studies providing support for this theory. Among them, Grossman and Sharpe (1986) report that a portfolio without South African stocks a higher standard deviation relative to the New York Stock Exchange (NYSE) index. Also, removing a portion of the total universe of stocks may result in suboptimal portfolios and imposing ethical constraints on the equity investment will cause inferior portfolio performance. ...
... The first group of studies reports the dominant performance of SRI indices over the conventional index. For example, Grossman and Sharpe (1986), Diltz (1995), Hutton, D'Antonio, and Johnsen (1988), Luck and Pilotte (1993), and Heyes (2005) find socially responsible indices (i.e. Domini Social Index (DSI)) outperform traditional index (i.e. ...
Socially responsible investing (SRI) continues to get the attention of both practitioners and academicians as the demands for these funds increased sharply during the last decade. This study provides additional evidence on performances of SRI in mutual funds. The empirical findings show that although SRI funds experience lower average returns relative to the non-SRI control sample and various benchmarks, they provide higher returns relative to the control group and benchmarks using various risk adjusted measures. Among the subgroups analyzed, SRI Fixed Income funds offer the highest risk adjusted returns to investors while SRI Global funds provide the lowest returns. Finally, using Jensen’s alpha for individual funds, we find that about half of the funds experience negative alphas and 20 percent of SRI funds have statistically significant negative alphas compared to 7 percent of funds with that of positive alphas. Overall, the findings show mixed results concerning SRIs performance.
... 8 There is an economic aspect to Ownership of tobacco revenue but for some investors, there is also an ethical consideration. 9 Additional references on the debate about divestment and impact include Grossman and Sharpe (1986) and Rohleder et al. (2022). The issue of "exit versus voice" is addressed in Hart and Zingales (2017) and Broccardo et al. (2022). ...
A portfolio can be viewed as the collection of the businesses, policies and practices of constituent companies. We measure investors’ Ownership of this collection. Ownership metrics aggregate an assortment of company specific Environmental, Social and Governance (ESG) characteristics to the portfolio level, and they can inform investment and engagement decisions. Relative to a benchmark, investor Ownership is active and satisfies a zero-sum property, which underscores the distinction between Ownership and impact. Ownership of ESG characteristics may be interpreted as ascribing ethical responsibility, but that conclusion and any decisions that result from it belong to the investor.
... Kısıtlandırılmış portföylerin finansal performansı hakkındaki tartışmalar uzun süredir devam etmektedir. Bu konudaki temel iddia bu portföylerin izleme maliyetlerini arttırması, yatırım yapılabilir varlık evrenini daraltması ve çeşitlendirme potansiyelini düşürmesi sebebiyle konvansiyonel muadillerinden daha kötü performans sergileyeceği ve yatırımcılarına ilave maliyetler yükleyeceğidir (Bauer, Otten & Rad, 2006;Blake R. Grossman & Sharpe, 1986;Diltz, 1995;Renneboog, Ter Horst & Zhang, 2008;Rudd, 1981;Sauer, 1997). Yukarıdaki tabloda görüldüğü gibi İslami izleme kriterlerinin yatırım yapılabilir varlık evrenini önemli ölçüde daralttığı aşikârdır. ...
Bu çalışmanın amacı İslami izleme kriterlerinin İslami endekslerin çeşitlendirme düzeyi üzerinde olumsuz bir etkisinin olup olmadığının ve eğer varsa kayıp çeşitlendirmenin yatırımcılara ilave maliyet yükleyip yüklemediğinin araştırılmasıdır. Türkiye, Malezya, Amerika Birleşik Devletleri ve İngiltere örneğindeki İslami ve konvansiyonel endeksler portföy teorisi modelleri vasıtasıyla incelenmiştir. Ampirik bulgulara göre, İslami endekslerin çeşitlendirme düzeyinin konvansiyonel muadilleri kadar iyi olmadığı anlaşılmaktadır. Yani filtreleme kriterleri sebebiyle kısıtlanan yatırım yapılabilir varlık evreni çeşitlendirme prensibi açısından İslami endeksleri dezavantajlı bir konuma sokmaktadır. Ancak analiz döneminde İslami endekslerin çeşitlendirme kaybını telafi ettiği görülmektedir. Dolayısıyla bu çalışmada elde edilen bulgular, İslami endeks yatırımcılarının ilave maliyetlere katlanacağı iddiasını desteklememektedir.
Abstract
The purpose of this study is to investigate whether Islamic screening criteria have an adverse effect on the level of diversification of Islamic indices, and if so, whether the lost diversification adds extra costs to the investors. Islamic indices and their conventional counterparts have been examined through portfolio theory models in the case of Turkey, Malaysia, the United States and the United Kingdom. According to empirical findings, it is understood that the level of diversification of Islamic indices is not as well as conventional counterparts. In other words, the universe of investable assets restricted by filtering criteria has led Islamic indices disadvantageous position in terms of diversification principle. However, during the analysis period, Islamic indices seem to compensate for the lost diversification. Therefore, findings obtained in this study do not support the claim that Islamic index investors will bear additional costs.
... The original Sullivan Principles consisted of seven requirements a corporation operating in South Africa must satisfy. They were a response to apartheid and an alternative to complete divestment, which was perceived as a costly strategy(Grossman and Sharpe, 1986;Rudd, 1979).5 The titles of the four conference reports are "Investing for Long-Term Value -Integrating Environmental, Social and Governance Value Drivers in Asset Management and Financial Research" (2005), "Communicating ESG Value Drivers at the Company-Investor Interface" (2006), "New Frontiers in Emerging Markets Investment" (2007) and "Future Proof? ...
This handbook in Sustainable Finance corresponds to the lecture notes of the course given at the University of Paris-Saclay, ENSAE, Paris Cité University and Sorbonne University. It includes the following chapters: 1. Introduction, 2. ESG Scoring, 3. Impact of ESG Investing on Asset Prices and Portfolio Returns, 4. Sustainable Financial Products, 5. Impact Investing, 6. Engagement & Voting Policy, 7. Extra-financial Accounting, 8. The Physics and Economics of Climate Change, 9. Climate Risk Measures, 10. Transition Risk Modeling, 11. Climate Portfolio Construction, 12. Physical Risk Modeling, 13. Climate Stress Testing and Risk Management, 14. Conclusion, 15. Appendix A Technical Appendix, 16. Appendix B Solutions to the Tutorial Exercises
... Rudd (1979) shows that screening corporations with holdings related to Apartheid reduced portfolio returns by 0.037 percent annualized on average. On the other hand, Grossman and Sharpe (1986) report that anti-Apartheid investment outperforms the NYSE portfolio by 0.187 percent annually between 1960 and 1986. Hence, similarly to the literature in developed countries, the existence of a CSR-related risk premium is still open to debate in South Africa (Hamilton et al., 1993). ...
This thesis examines socially responsible investing (SRI) through the lens of the relationship between corporate social responsibility (CSR) and financial performance. The research presented is structured into two sections and four chapters, each of which addresses distinct questions. Taken together, these chapters contribute to a single objective, namely, to understand whether SRI is profitable for investors. The first section consists of two chapters that examine the CSR risk premium in developed equity markets (Chapter 1) and emerging markets (Chapter 2), respectively. Our results show that abnormal returns of the CSR risk premium are contingent upon the level of investor attention to CSR and on firm size. We thus argue that the relationship between CSR and financial performance is initially positive, as obtained in emerging markets and in the partition of small firms in developed countries. However, the exponential growth of SRI assets in developed count ries has contributed to make the market more efficient with respect to CSR and thus the risk premium is no longer significant, as obtained in the large firm partition. In the second section, this thesis focuses on the mechanisms of value creation for responsible investors. The two chapters that make up this section examine respectively the effect of CSR filtering on SRI portfolios (Chapter 3) and the impact of materiality on the relationship between climate and financial performance (Chapter 4). We show in the third chapter that the relationship between CSR filtering and portfolio risk-adjusted returns is curvilinear. Thus, excluding companies based on CSR criteria is beneficial until the impact on financial diversification prevails. In the last chapter, our results suggest that the impact of climate performance on companies' financial performance is moderated by the investment horizon and the materiality of climate considerations within industries. Indeed, climate performance does n ot have a significant effect on profitability in the short term. In the long term, climate performance has an impact on financial performance solely for carbon-intensive companies.
... We cannot ignore the fact that this type of fund is still relatively recent and underdevelopment, hence the need for research on the subject. Some scholars have found evidence that conventional funds perform better than socially responsible ones, given the possible use of filters in the stock selection process in SRIF, such as Freeman, (1984), Grossman and Sharpe (1986) or Cortez et al. al. (2009). ...
to understand the risk/return trade-off of investing in these financial instruments, namely in socially responsible investment funds (SRIF) and green investment funds (GIF).
... In contrast, other theories hold a positive view of CSR, arguing that it allows management to take a long-term perspective and maximize intertemporal profits-CSR activities can be an efficient form of delegated philanthropy on behalf of firms' stakeholders, including shareholders (Benabou and Tirole 2010). A number of recent studies suggest that CSR engagement can increase firm value by enhancing customer loyalty and product differentiation (Besley and Ghatak 2007;Albuquerque et al. 2019;Servaes and Tamayo 2013), improving employee morale, facilitating talent retention (Edmans 2012;Turban and Greening 1997), and attracting a broad clientele (Grossman and Sharpe 1986;Hong and Kacperczyk 2009;Dimson et al. 2015b). Consistent with CSR activities increasing shareholder wealth, Dimson et al. (2015a) show that target companies experience positive abnormal returns following successful CSR engagements initiated by large institutional investors. ...
This paper examines the impact of a firm’s social performance on the CEO’s employment prospects. We find that CEOs are more (less) likely to leave office when there is a significant recent decline (improvement) in social performance. We then track departing CEOs’ subsequent employment records and find that the social performance of their previous employers improves their labor market outcomes. These CEOs are more likely to find a new executive position, move up to a larger public firm, and receive higher compensation from the new public firm. Using a Cox proportional hazard model, we find that the strong social performance of the previous employer helps CEOs find their next executive positions sooner. Overall, our results suggest that corporate social performance enhances CEOs’ labor market potential.
... Imposing ESG parameters and other non-financial peculiar parameters for screening purpose put constraints on investible universe and can lead to negative performance of funds (Grossman andSharpe 1986, Hamilton et al. 1993). SRI funds classified on basis of various sustainability themes underperform the benchmark while the one based upon governance parameter outperformed the same (Galema et al., 2012). ...
The study addresses the growing popularity and need of green investing. Green investing have been shown to churn lesser yields and underperform general market portfolios. Rapid growth of green bonds, green funds and green theme indices worldwide indicate towards the growing segment within investment community. The ethical screens lead to crunching of investable universe as a result such funds are expected to lose on diversification benefits. The study attempts to investigate the performance of green and non-green portfolios during the crisis and validate the differential impact of crisis on their demand. It further examines the impact of market cycles on the returns of portfolios. The period is classified into pre-crisis, crisis and post-crisis period. Asset pricing models believed to explain the returns on well diversified market portfolio have been applied on constructed green and non-green portfolios to measure the abnormal return. Green portfolios are noticed to be picking pace and outperforming market after the crisis surpassed. Indian investors are not penalizing companies for their green initiatives and such initiatives are believed to drive demand for the stock.
... 9. Earlier studies had examined the performance of portfolios with and without South African stocks. See, for example, Grossman and Sharpe (1986), also discussed in this review. ...
The Financial Analysts Journal has a history of publishing academic and practitioner articles on environmental, social, and governance (ESG) issues; many appeared decades before the terminology became common. In celebration of the 75th anniversary, the author provides brief reviews of these articles, including reflections on how the insights brought out in this collective body of work remain important today for investors’ decisions.
... If we trace them back to their origins, both forms of investment have religious and ethical concerns. SRI traces to the 1920s, when Quakers rejected investment in activities that involved moral issues (Grossman & Sharpe, 1986). Islamic investment emphasizes the ethical principles of Islam and avoiding activities that are not sharia compliant. ...
This study empirically investigates the effect of an Islamic label on environmental, social, and governance (ESG) performance. Islamic firms in Indonesia and Malaysia that are characterized by lower debt and lower non-sharia compliant income and have a higher ethical standard are expected to make a better contribution to the environment and society. Testing firms in Indonesia and Malaysia, two emerging countries in ASEAN (Association of Southeast Asian Nations), reveals a significant difference in overall environmental and social performance, but not in governance quality. Also, the study documents the significant effect on performance of using Islamic criteria for leverage, accounts receivable, and cash. Overall, after controlling for some variables and splitting the sample into different time horizons and firm sizes, the study consistently reveals that firms labeled as Islamic have better environmental and social performance, but not governance performance. The relevant policies should be adjusted.
JEL classifications
G21, G29.
... Galema et al. show that the book-to-market factor of the Fama-French model could incorporate some of the ESG characteristics [61]. In the 1980s, Grossman and Sharpe also found that the positive market-relative performance of the South Africa-free portfolios can be attributed to small firm size effect [92]. ...
ESG factors are becoming mainstream in portfolio investment strategies, attracting increasing fund inflows from investors who are aligning their investment values to Sustainable Development Goals (SDG) declared by the United Nations Principles for Responsible Investments. Do investors sacrifice return for pursuing ESG-aligned megatrend goals? The study analyses the risk-adjusted financial performance of ESG-themed megatrend investment strategies in global equity markets. The analysis covers nine themes for the period 2015–2019: environmental megatrends covering energy efficiency, food security, and water scarcity; social megatrends covering ageing, millennials, and urbanisation; governance megatrends covered by cybersecurity, disruptive technologies, and robotics. We construct megatrend factor portfolios based on signalling theory and formulate a novel measure for stock megatrend exposure (MTE), based on the relative fund flows into the corresponding thematic ETFs. We apply pure factor portfolios methodology based on constrained WLS cross-sectional regressions to calculate Fama-French factor returns. Time-series regression rests on the generalised method of moments estimator (GMM) that uses robust distance instruments. Our findings show that each environmental megatrend, as well as the disruptive technologies megatrend, yielded positive and significant alphas relative to the passive strategy, although this outperformance becomes statistically insignificant in the Fama-French 5-factor model context. The important result is that most of the megatrend factor portfolios yielded significant non-negative alphas; which supports our assumption that megatrend investing strategy promotes SDGs while not sacrificing returns, even when accounting for transaction costs up to 50bps/annum. Higher transaction costs, as is the case for some of these ETFs with expense ratios reaching 80-100bps, may be an indication of two things: ESG-themed megatrend investors were willing to sacrifice ca. 30-50bps of annual return to remain aligned with sustainability targets, or that expense ratio may well decline in the future.
... Lloyd Kurtz, a Rudd (1979) and Grossman and Sharpe (1986) which used factorbased analysis to explain variances in South Africafree equity portfolios. • Sustained Attention (1990s): This period showed strong nominal performance of social investment benchmarks. ...
... Some of the earliest studies of RI fund performance entailed the construction of an RI fund and a comparison of its performance to that of a market index. Researchers such as Rudd (1979) and Grossman and Sharpe (1986) constructed 'South Africa free' portfolios in the 1980s to establish the cost associated with limiting an institutional investor's universe. They found a definite cost associated with reduced diversification. ...
This research addresses a gap in the literature on responsible investing (RI) in South Africa by studying the risk-adjusted performance of RI unit trusts available to retail investors. The Sharpe, Sortino and Upside-potential ratios for 16 RI unit trusts, their benchmarks and a matched sample of conventional unit trusts were calculated for the period 1 June 1992 – 31 August 2011. Most of the RI unit trusts in South Africa use exclusionary screens based on Shari’ah (Islamic) law with the remaining funds focusing on social issues, such as labour relations and social development. The total expense ratios of RI unit trusts are slightly higher than those of conventional funds, but no different from that of their benchmarks or a matched sample of conventional unit trusts. It is suggested that local assets managers expand the range of retail RI unit trusts available in the country.
... Earlier studies (Sauer, 1997;Guerard, 1997;Konar and Cohen, 2001;Statman, 2006;Adler andKritzman, 2008, Mallett andMichelson, 2010, among others) cannot provide convincing evidence about the advantage of socially responsible investing. Among the studies investigating SRI index performance, Grossman and Sharpe (1986), Hutton et al. (1998), Luck and Pilotte (1993), Diltz (1995) and Heyes (2005) report that SRI indices perform better than conventional indices. Lyn and Zychowicz (2010), using the Sharpe and Treynor measures, report that faith-based funds perform better than other socially responsible funds. ...
Purpose
The purpose of this paper is to examine socially responsible investment (SRI) fund performance and investigate the factors influencing fund performance.
Design/methodology/approach
The study uses return data from the Morningstar database for 152 SRI funds from January 1995 to May 2015. The initial analysis includes the use of various risk-adjusted performance measures, including Sharpe ratio, Treynor ratio, Information ratio, Sortino ratio and M² . The study also uses four factor models, including Jensen single-factor model, Fama–French three-factor model, Carhart four-factor model and Fama–French five-factor model to explain SRI fund returns. Finally, a cross-sectional regression analysis is applied to investigate the determinants of SRI fund returns.
Findings
The results show that, on average, the SRI funds provide comparable risk-adjusted returns relative to various benchmark market indices. Market factor is significant in explaining SRI fund returns. Examining each factor model, the results do not support Fama–French’s three-factor model as neither size nor value factor is significant. The author finds weak support for Carhart’s momentum factor along with the market factor. Finally, the Fama–French five-factor model shows market, size and operating profit factors explain SRI fund returns. The study also finds the fund performance is stronger for funds with the higher turnover ratio, the larger fund size and more managerial experience and lower for funds with higher expense ratio. Also, funds formed with negative screening perform better than positive or mixed screened funds.
Originality/value
SRI funds have received considerable attention from investors. This study contributes to the literature by examining SRI fund performance and investigating factors influencing their performance using multiple factor models and cross-sectional regression analysis. The findings are relevant for investors who demand responsible investment opportunities without sacrificing returns for nonfinancial screenings. Findings also suggest that investors should consider fund characteristics when selecting SRI funds.
... The difference between the two indices' performance was not statistically significant (Statman 2000). This result has been supported by a number of similar studies (Grossman and Sharpe (1986), Guerard (1997), Kurtz and DiBartolomeo (1996), Sauer (1997), Statman (2006)) 20 . For those firms marketing ethical financial services products, these findings are of considerable importance. ...
This is a collection of 9 papers on the topic of Self-Managed Superannuation Funds. It includes our studies of risk aversion, diversification, performance, and my evaluation of the chances of survival of SMSFs.
... Divestment as a means of addressing a perceived injustice is not a new phenomenon and has been most famously in the context of the racial conflicts and human rights violations of the South African Apartheid (Arnold & Hammond, 1994;Grossman & Sharpe, 1986;Posnikoff, 1997;Rudd, 1979). In smaller part, divestment has been campaigned against the health impacts of tobacco industry (Cogan, 2000;Wander & Malone, 2004), the Darfur genocide (Bechky, 2009;Patey, 2009), Burmese militancy (Freeman, 1996), Israeli war crimes (Makdisi, 2003) and of other 'sin stocks' as well (Fabozzi, Ma, & Oliphant, 2008;Hong & Kacperczyk, 2009). ...
... Robust t-statistics are derived from Newey and West (1987) indicate the significance at the 10%, 5%, and 1% level, respectively. Robust t-statistics are derived from Newey and West (1987) standard errors Though imposing non-financial constraints on the investment process theoretically may have a negative impact on the performance (e.g., Grossman andSharpe (1986), Hall (1986)), Islamic funds do not suffer from reduced financial performance in the ten year period from 2004 to 2014. As our internationally-investing funds come from different regions, we split our sample in funds domiciled in developed Islamic and non-Islamic markets to account for biases owed to the origin of a fund. ...
Internationally-investing Islamic equity funds from developed Islamic and non-Islamic markets perform in general similar to the market. However, analyzing different market conditions, we provide evidence that funds domiciled in Islamic markets outperform their peers and funds from non-Islamic markets during market turmoil, irrespective of the applied performance measurement model. We suggest that this outperformance is owed to the expertise of fund managers from developed Islamic markets who operate in a financial environment that is driven by Islamic principles. Our results are robust with respect to the standard Fama-French three-factor and four-factor models as well as to the novel five-factor model.
... The difference between the two indices' performance was not statistically significant (Statman 2000). This result has been supported by a number of similar studies (Grossman & Sharpe 1986;Guerard 1997;Kurtz & DiBartolomeo 1996;Sauer 1997;Statman 2006) 3 . For those firms marketing ethical financial services products, these findings are of considerable importance. ...
Ethical or responsible investing has attracted much attention over the last decade. Financial planners can now advise clients on a broad range of ethical investment products and some financial planning firms have this as their sole activity. Interestingly, the alter ego of ethical investing, sin or vice investing, has attracted far less attention. Recent research shows that 'sinful' investments can generate very strong returns and should certainly not be avoided by investors without a full evaluation of the consequences of excluding these investments from the portfolio. This paper extends these findings into the field of self managed superannuation funds operating within an Australian context. The prevalence of sinful investments within a sample of SMSFs and the returns that may be generated by a portfolio consisting of sinful Australian equities is examined. Analysis reveals that the SMSF investors within the sample do not include very many sin stocks in their portfolios. However, it does not appear as though SMSF trustees are missing an important investment opportunity because the analysis reveals that an equally-weighted portfolio of all vice or sin shares is unlikely to generate superior returns.
... This phraseology clearly indicates that USS believes that socially irresponsible firms are more likely to generate lower stock returns in the long run. studies drew a distinction between firms active and non-active in South Africa (Grossman & Sharpe, 1986;Rudd, 1981). More recent studies have tended to define firms as socially responsible according to their performance in a particular area of social responsibility (Derwall, Gunster, Bauer, & Koedojk, 2004;Filbeck & Preece, 2003a,b;Jones & Murrell, 2001), or investment funds as socially responsible by a narrow range of characteristics, usually the exclusion of tobacco and/or arms companies (Hamilton et al., 1993), or on the basis of a fund's self-classification as an SRI fund or otherwise (Schroder, 2004). ...
Devastating forest fires in Brazil’s Amazon rainforest, one of the most important biomes for Earth’s climate balance, have captured the world’s attention in 2019 and 2020. Foreign governments, non-governmental organizations, and institutional investors pressured Brazilian President Jair Bolsonaro to act and control the situation. Within this context, institutional investors threatened to divest from companies potentially linked to the wildfires and to sell government bonds, creating a divestment movement. Against this background, this article shows that Bolsonaro’s responses varied for each of the groups criticizing the handling of the environmental situation. It is argued that the Brazilian government adopted a more conciliatory tone and took more concrete actions when responding to institutional investors’ demands, compared to the responses for foreign governments and non-governmental organizations (NGOs). Based on fifteen in-depth interviews conducted in 2021 with professionals involved in this divestment case, the paper concludes that institutional investors played a key role in Bolsonaro’s winning coalition and electoral aspirations. Moreover, the shortage of financial capital due to the COVID-19 pandemic created further incentives for Bolsonaro to avoid conflicts with institutional investors. KEYWORDS: Divestment; Amazon Rainforest; Wildfires; Investors; Climate Change; Brazil; Politics
The concept of sustainable development affects every part of economic life. The provision of liquidity and capital should contribute to a habitable ecological and social environment. This paper surveys the role of finance in the concept of sustainability. It starts with a discussion of finance and ethics, as sustainability, in principle, is an ethical concept. In the following sections , the focus is on socially responsible investments (SRIs) as the most prominent representatives of sustainable finance. Various techniques to construct such investment products and their different types are explained. We demonstrate the labour division between and the tasks of the different agents in the network of SRI. Special reference is made to empirical results concerning the performance of an asset allocation process restricted by sustainability criteria. As SRI intends to promote a firm's contributions to social, environmental and governance issues, the question that is discussed is if and how investors can enforce such a real impact. Sustainable finance goes beyond financial investment contracts. With socially responsible property investments, research on an asset class is presented, which represents real investments with sustainability criteria. Sustainable finance with a strong focus on very direct impacts on the borrower side and partial links to philanthropy is discussed by introducing micro-finance. The paper ends with a look at the valuation of a firm conducted under ecological and social criteria and with a brief discussion on carbon finance.
This handbook in Sustainable Finance corresponds to the lecture notes of the course given at the University of Paris-Saclay, ENSAE, Paris Cité University and Sorbonne University. It includes the following chapters: 1. Introduction, 2. ESG Scoring, 3. Impact of ESG Investing on Asset Prices and Portfolio Returns, 4. Sustainable Financial Products, 5. Impact Investing, 6. Engagement & Voting Policy, 7. Extra-financial Accounting, 8. The Physics and Economics of Climate Change, 9. Climate Risk Measures, 10. Transition Risk Modeling, 11. Climate Portfolio Construction, 12. Physical Risk Modeling, 13. Climate Stress Testing and Risk Management, 14. Conclusion, 15. Appendix A Technical Appendix, 16. Appendix B Solutions to the Tutorial Exercises
The balanced mutual funds, HDFC and ICICI Prudential funds are evaluated and compared the performance since their early days of inception, to the present. A detailed discussion of the balanced mutual funds is included followed by the characteristics of the funds selected for the study. The statistical evaluation parameters, Correlation, Standard deviation, Sharpe’s Index, Treynor’s Ratio, Jensen’s Alpha and M Square are used for the appraisal of the funds. Limitations of the study are highlighted.
Taking the greatest socially responsible sovereign wealth fund in the world, namely, the Norwegian Government Pension Fund‐Global (GPF‐G), as a proxy for the world market portfolio, and collecting investment data from 2006 to 2021, our research studies how the attitude of environmentally concerned investors has changed, on different markets, over time, particularly before and after the 2015 Paris Climate Agreement. We investigate, with an event study methodology, what happens to stock prices when companies are excluded from the GPF‐G portfolio for serious environmental violations, unacceptable level of greenhouse gas emissions, or for their involvement in thermal coal processing. In line with previous studies, our results show that Paris Agreement has acted as a catalyst for environmentally conscious behavior by international investors, and this is particularly true in Anglo‐Saxon countries. Especially US, Japanese, Chilean, Indian, and Canadian investors care about the environmental issues that have led to the exclusion from the fund investment portfolio. To the contrary, investors in China, Germany, Australia, and UK seem to have an opposite reaction, as the prices of the excluded stocks increase.
Purpose
The purpose of the paper is to analyze socially responsible investment (SRI) asset performance compared to traditional assets using the MSCI KLD 400 Index. The authors examine the required return that investors expect to maintain their holdings in SRI stock and whether SRI stocks can be used for diversification during financial crises.
Design/methodology/approach
The authors examine SRI stocks' liquidity from the MSCI KLD 400 index, encompassing all environmental, social and governance (ESG) factor investments over 25 years, from 1990 until 2019. The authors test whether sorting portfolios based on their excess return, liquidity and volatility can explain the difference in SRI and non-SRI stocks' returns and then examine the global financial crisis' (GFC) impact on excess returns for SRI and non-SRI assets.
Findings
The authors find a significant difference in liquidity and volatility between SRI and non-SRI stocks and that SRI stocks perform better during financial crises. The results suggest a possible general investor preference to invest in non-SRI stocks despite our findings that SRI stocks tend to withstand financial risk better than non-SRI stocks. The authors find that long-term investors may be willing to forego short-term gains to reduce their overall risk exposure during crises.
Originality/value
SRI is gaining international popularity as an alternative investment that includes ratings based on ESG factors. Previous studies provide mixed results of whether SRI stocks outperform conventional stocks. In addition, there is limited research examining the liquidity and volatility of SRI assets. The authors compare the differences between SRI and non-SRI stocks in terms of excess return, volatility and liquidity and compare the liquidity of SRI and non-SRI stocks during the financial crisis.
This study analyzes the performance of socially responsible investment (SRI) in Central and Eastern European Countries (CEECs), and the extent to which a company's qualification for a given index affects its value. This evaluation refers only to the companies included in the CECE SRI and RESPECT indices.
An event study and performance measures were applied. The results of the event study were checked by means of parametric and non-parametric tests.
The research results show better performance of the RESPECT index among other indices. However, the event study findings are significantly different for the CECE SRI and RESPECT indices. A strong inclusion effect was observed only in the case of companies listed in the RESPECT index.
We investigate how international investors evaluate the behaviour of those companies that have been excluded from the portfolio of the Norwegian Government Pension Fund-Global (GPF-G) due to environmental concerns. We concentrate on the excluded companies, to check if they are punished by SR concerned investors for their unethical environmental production and suffer from reputational damage. In particular, we focus on the 37 companies that have been excluded on the 14 of April 2016 that are listed on nine international stock markets. Building on the methodology generally used in these cases, we run an event study analysis to assess the stock price reaction to the public announcement of exclusion and to detect if an abnormal price reaction around the event exists.
We construct optimal portfolios of mutual funds whose objectives include socially responsible investment (SRI). Comparing portfolios of these funds to those constructed from the broader fund universe reveals the cost of imposing the SRI constraint on investors seeking the highest Sharpe ratio. This SRI cost crucially depends on the investor’s views about asset pricing models and stock-picking skill by fund managers. To an investor who strongly believes in the CAPM and rules out managerial skill, that is, a market index investor, the cost of the SRI constraint is typically just a few basis points per month, measured in certainty-equivalent loss. To an investor who still disallows skill but instead believes to some degree in pricing models that associate higher returns with exposures to size, value, and momentum factors, the SRI constraint is much costlier, typically by at least 30 basis points per month. The SRI constraint imposes large costs on investors whose beliefs allow a substantial amount of fund-manager skill, that is, investors who heavily rely on individual funds’ track records to predict future performance. (JEL G11, G12, C11)
Received February 13, 2020; editorial decision January 16, 2021 by Editor Jeffrey Pontiff.
Islamic equity portfolios work with a smaller investment universe given the filtering of non-Shari’ah compliant stocks. It has been theoretically argued that this culminates in suboptimal portfolio diversification, which in turn adversely affects risk-adjusted returns. We offer empirical evidence that such a conceived portfolio diversification “penalty” is far from a foregone conclusion, at least empirically. Our results tend to indicate that Islamic portfolios are not invariably handicapped in terms of portfolio diversification. We also explored dimensions that may account for differences in the relative investment performance between Islamic and conventional portfolios, such as portfolio constraints, short selling and market conditions. We believe this paper is among the first to apply substantial empirical analysis specifically with respect to the portfolio diversification perspective on Islamic equity investments.
Der Beitrag untersucht das Fossil-Fuel-Divestment in Deutschland und fragt nach dort entwickelten Frames der beteiligten Akteur/innen aus Aktivist/innen, NGOs und Finanzwelt. Bekräftigt durch die Pariser Klimakonferenz 2015 nahm die globale Mobilisierung an Fahrt auf. Städte, Versicherungen, Pensionsfonds und andere öffentliche und private Institutionen sind aufgefordert, ihre Vermögen aus Unternehmen, involviert in Extraktion, Verarbeitung und Vertrieb fossiler Energien, abzuziehen. Der Beitrag skizziert die gegenwärtige Fossil-Fuel-Divestment-Bewegung, ihre Entwicklung in Deutschland und ihren Entstehungskontext. Unter Rückgriff auf den bewegungsanalytischen Framing-Ansatz und auf Basis qualitativer Interviews und Fokusgruppen analysieren wir die kollektiven Deutungsrahmen (frames) der Bewegung und der involvierten Finanzakteur/innen, überwiegend aus dem Nachhaltigkeitssegment. Divestment generiert eine geteilte Problemwahrnehmung über multiple Akteursgruppen hinweg, die die fossilen Geschäftsmodelle, ihre Finanzierung und die Rolle von Investor/innen für die Klimakrise ins Zentrum der Kritik rückt. Investor/innen werden zugleich als ‚Teil der Lösung‘ gerahmt, wobei sich Deutungskämpfe über das ‚wie‘ abzeichnen. Die Analyse zeigt Ansätze neuer Konfrontationslinien und Allianzbildungen zwischen Klimabewegung und Finanzmarkt und damit verbundene Widersprüche auf. Im zweiten Teil arbeiten wir heraus, wie die Protagonist/innen aktiv Beziehungen zwischen ökologischem (De-)Investment und Stabilisierung von Finanzpraktiken herstellen. Die Bewegung übersetzt die globale Erwärmung als Risiko- und Stabilitätsproblem in die Finanzsphäre und prägt die Wahrnehmung klimabezogener Risiken mit.
This study complements and extends prior research on the risk mitigation role of sustainable investing. We use a continuous measure of funds' sustainability traits, rather than a categorical approach, and assess impact on risk directly rather than by looking at fund performance in up versus down markets. We find that sustainable investing plays a significant role in mitigating total, systematic, and idiosyncratic risk of equity funds, even after controlling for other fund characteristics. Further evidence indicates that the explanation for the risk reduction role of sustainable funds largely runs through traits of the firms held in the funds.
This research analyzes the risk-adjusted returns and the investment style of sustainability-themed funds, a fast-growing category of sustainable and responsible mutual fund. Sustainability-themed funds are compared with sustainable and responsible mutual funds that implement different approaches in portfolio selection and management, and with thematic funds not involved in responsible investment strategies. The study uses a European sample of 1512 mutual funds where 468 are sustainability-themed funds, 633 are other sustainable and responsible funds, and 411 thematic funds. Monthly performance and fund characteristics are analyzed for the period 2007–2017 using a single factor Capital Asset Pricing Model (CAPM), a Fama and French (1993) 3-factor model, and, lastly, a Fama and French (Journal of Financial Economics, 116: 1–22, 2015) 5-factor model. The analysis is extremely innovative. During the last 15 years, literature about sustainable and responsible investment has focused on the differences in terms of risk and performance between socially responsible and conventional funds. Starting from the methodology applied in previous studies, and in light of their exponential growth in recent years, this paper focuses on sustainability-themed mutual funds. We demonstrate that sustainability-themed funds differ in terms of risk, performance, and investment style from other funds that implement social responsible strategies and from thematic funds focusing on a specific theme, but not responsible investment.
Purpose
This paper aims to analyze the portfolio characteristics and the performance measures of sustainability-themed mutual funds, compared to ethical mutual funds that implement different sustainable and responsible investment strategies.
Design/methodology/approach
The study refers to a European sample of 106 ethical funds and 51 sustainability-themed funds. The monthly performance of each fund is downloaded from Bloomberg for the period from January 1996 to December 2015. By applying a Fama and French (1993) three-factor model, the authors overcome the limits of a capital asset pricing model (CAPM) based-single index model, to compare the performance of the two categories of funds.
Findings
Sustainability-themed funds do not differ significantly from ethical funds in terms of portfolio attributes, except for market capitalization, age and net asset value. Regarding performance measures, the results shows that sustainability-themed funds have a lower underperformance than ethical funds (as measured by Jensen’s alpha), whereas the samples do not differ in terms of market risk (as measured by Beta coefficient). The idiosyncratic risk of sustainability-themed funds is positively influenced by the specific portfolio strategies. The sustainability-themed funds show a higher concentration in the industrial sector and a lower exposure to financial sector than ethical funds; in terms of geographical strategy, they are more global and international oriented; they mainly focus on small caps and value stocks.
Research limitations/implications
The different sustainable and responsible investment strategies can be applied simultaneously and in a growing number of possible combinations. Mutual fund managers can consider thematic approach as an efficient opportunity for reconciling financial performance and economic sustainability. It is demonstrated that sustainability-themed funds adopt a portfolio strategy significantly different from ethical funds and from the environmental, social and governance benchmarks. Mutual fund managers implement a thematic specialization without any negative impact on the funds returns compared to ethical funds; actually, with a proper diversified portfolio, they are able to reduce idiosyncratic risk.
Originality/value
The analysis is extremely innovative, especially for the thematic sample. During the past 15 years, literature about sustainable and responsible investment has been focused especially on the differences in terms of risk and performance between socially responsible and conventional funds. This paper, starting from the methodology applied in these studies, wants to compare two different types of socially responsible strategies, with a specific focus on sustainability-themed mutual funds, given their exponential growth in the past few years.
Fossil fuel divestment is discussed controversially with regard to its financial consequences and its effect on decarbonizing the economy. Theory and empirical studies suggest arguments for both, financial underperformance and outperformance of divestment. Therefore, our first research objective is to understand the financial effect of divestment. The second objective is to analyze the influence of divestment strategies on the carbon intensity of portfolios. Empirically, our analysis is based on the Canadian stock index TSX 260 for the time between 2011 and 2015. The results of the study suggest higher risk-adjusted returns and lower carbon intensity of the divestment strategies compared to the benchmark. We conclude that divestment is not only an ethical investment approach, but that it is able to address financial risks caused by climate change and, at the same time, is able to reduce the carbon exposure of investment portfolios. Available at https://uwspace.uwaterloo.ca/handle/10012/13043
There is a growing movement for both individual investors and large institutions to divest from oil companies, and from fossil fuel producers in general. This paper investigates the implications of doing so, by comparing three portfolios: (1) a portfolio that includes fossil fuel producing companies and utilities, (2) a portfolio that replaces fossil fuel producing companies and utilities with clean energy companies, and (3) a portfolio without fossil fuel producing companies, utilities, or clean energy companies. Using a range of measures, we find that portfolios that divest from fossil fuels and utilities and invest in clean energy perform better than those with fossil fuels and utilities. We also find that risk-averse investors would be willing to pay a fee to make this switch, even when trading costs are included.
Un nombre croissant d'acteurs s'interroge sur les conséquences sociales et écologiques de l'activité économique. Sous la pression et face aux risques médiatiques et juridiques, les entreprises affichent et affirment leur responsabilité sociale. Sous quelles formes cette prise de conscience apparaît-elle dans la gouvernance d'entreprise ? Cet ouvrage analyse les pratiques des gérants de fonds socialement responsables sur le marché de la gestion collective et sur les marchés financiers.
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