Is There a Green Factor?

Chia, Chin-Ping; Goldberg, Lisa R.; Owyong, David T.; Shepard, Peter G.; Stoyanov, T.

doi:10.3905/jpm.2009.35.3.034

Cited by 26 publications

(10 citation statements)

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“…They found a significant and persistent outperformance for the high-ranked portfolio, suggesting an Eco-Efficiency Premium Puzzle in the U.S. stock market. Chia et al (2009) support the findings of Derwall et al (2005), employing a sample of international renewable energy stocks. They concluded that a statistically significant green factor seems to have emerged in recent years (Lobe, Oithmeier & Walkshäusl, 2009).…”

Section: Environmental Statementsupporting

confidence: 80%

“…The results of Mikhail and Shawky's (1979) research provide evidence for the benefits of investing in MNC's. In their study, the average level of returns from their sample group of 30 MNC's is higher on both an absolute and a risk-adjusted basis than the aggregate return on the S&P 500 index 7 (Gupta, 2006). It is also argued that since differences exist in levels of economic growth and timing of business cycles among various countries, international portfolio diversification can be used as a means of reducing risk.…”

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confidence: 97%

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Is International Investment Diversification Prudent to Either the Individual or Corporate Investor?

Simpson

2014

SSRN Journal

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International Investment Diversification (IID) has been receiving widespread attention at both the academic and practitioner levels in recently time. Those in favor argue that international portfolio diversification is the source of an entirely different world welfare gain, distinguishable from both the gains from trade and the productivity gains from international factor movements. They argue further that there are other several potential benefits that make it attractive for investors to internationalize their portfolios. Although the implications of international diversification are well known, it is also well established in academic studies that investors consistently fail to exploit these effects, preferring to concentrate their investments in the equities of their home country, leading to what is popular known as "equity home-bias puzzle".

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Section: Environmental Statementsupporting

confidence: 80%

mentioning

confidence: 97%

Is International Investment Diversification Prudent to Either the Individual or Corporate Investor?

Simpson

2014

SSRN Journal

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“…The existence of a ‘green factor’ among those valued by the market is compatible with the empirical studies conducted to date (Chia et al . ). The performance generated by factors not included in risk models or by the green factor could be explained as compensation for research costs in the Grossman & Stiglitz () perspective.…”

Section: Theoretical Foundations Of the Divergence Of Financial Perfomentioning

confidence: 97%

Financial performance of socially responsible investing (SRI): what have we learned? A meta‐analysis

2014

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International audienceWith a meta-analysis of 85 studies and 190 experiments, the authors test the relationship between socially responsible investing (SRI) and financial performance to determine whether including corporate social responsibility and ethical concerns in portfolio management is more profitable than conventional investment policies. The study also analyses the influence of researcher methodologies with respect to several dimensions of SRI (markets, financial performance measures, investment horizons, SRI thematic approaches, family investments and journal impact) on the effects identified. The results indicate that the consideration of corporate social responsibility in stock market portfolios is neither a weakness nor a strength compared with conventional investments; the heterogeneous results in prior studies largely reflect the SRI dimensions understudy (e.g. thematic approach, investment horizon and data comparison method)

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“…Facets of this increasing concern over environmental issues are present in all aspects of economic activity, spanning all sectors of the economy. As, among others, Climent and Soriano (2011) observe that the increased concern that societies and individuals show with respect to the environmental effects caused by economic activity has led to the growth of investment opportunities in funds with portfolios that specialize in investing in assets and companies which adopt and implement environmental responsibility (inter alia: Statman 2000; Chia et al 2009;Sabbaghi 2010;King and Lenox 2001;Sievanen et al 2013;Rathner 2013). Indeed, as Chang et al (2012) note, this trend in professional asset management is toward adopting investment policies and strategies that incorporate in a prominent and often decisive manner environmental parameters when examining investment opportunities and selecting stocks and shares for their portfolio.…”

Section: Introductionmentioning

confidence: 98%

Environmentally Responsible and Conventional Market Indices’ Reaction to Natural and Anthropogenic Adversity: A Comparative Analysis

Kollias

Papadamou

2015

J Bus Ethics

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It is widely claimed that climate change has increased the magnitude and the frequency of natural phenomena such as storms, droughts, and floods with the concomitant costs in terms of damages and victims. This paper using weekly data from global stock market indices in a Fama-French model, examines how and to what extent market agents and investors react to such events. As a yardstick for comparison purposes, the possible market impact of industrial accidents is also incorporated and examined in the empirical investigation. The study uses in a comparative approach the STOXX Global ESG Environmental Leaders index and the STOXX Global index diversified across 1800 top companies. Results reported herein seem to indicate that natural and anthropogenic adversity have no immediate impact on the stock indices, while wildfires have an immediate reduction impact on market risk in the case of the ESG Environmental Leaders index. Moreover, wildfires and industrial accidents appear to cause a significant reduction of systematic risk over the next week following the incident. However, the magnitude of the effect is higher in the case of the ESG Environmental Leaders stock index. Finally, the effect on systematic risk by industrial accidents is temporarily without any lasting imprint.

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Is There a Green Factor?

Cited by 26 publications

References 0 publications

Is International Investment Diversification Prudent to Either the Individual or Corporate Investor?

Is International Investment Diversification Prudent to Either the Individual or Corporate Investor?

Financial performance of socially responsible investing (SRI): what have we learned? A meta‐analysis

Environmentally Responsible and Conventional Market Indices’ Reaction to Natural and Anthropogenic Adversity: A Comparative Analysis

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