Measuring the environmental performance of green SRI funds: A DEA approach

Allevi, Elisabetta; Basso, Antonella; Bonenti, F.; Oggioni, Giorgia; Riccardi, Rossana

doi:10.1016/j.eneco.2018.07.023

Cited by 57 publications

(29 citation statements)

References 13 publications

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“…Similar to Zhen et al (2009), the weights of themes are equal whereas the weights of indices are different. We gave an equal weight of 0.25 to each of the four themes because: (1) the goal of green development is multiple and each theme is equally essential; and (2) themes with equal weight are widely adopted in environmental research (Allevi et al, 2018;Hu et al, 2018).…”

Section: The Dependent Variable: Igd Performancementioning

confidence: 99%

Innovation-driven industrial green development: The moderating role of regional factors

Wang

Chen

et al. 2019

Journal of Cleaner Production

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Industrial green development (IGD) is a critical response to the over-consumption of natural resources and pollution caused by modern industry. Innovation-driven IGD has generated great interest in recent years. However, relatively less attention has been paid to the various aspects of IGD and the moderating role of regional factors, including the developmental stage of IGD, governmentscale, and enterprise-scale. The present study was conducted to fill these research gaps using panel data across 30 provinces in China from 2005 to 2015. The empirical results show that 1) innovation does promote IGD and is most effective in low-carbon production, followed by resource reduction, economic operation, and pollution abatement; 2) there is an inverted U-shaped relationship between the regional IGD level and the role of innovation in IGD; and 3) both government-scale and enterprise-scale contribute to the innovation-driven IGD. These findings provide new insights into the impact of innovation on IGD and may shed light on future decisions related to green development.

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Section: The Dependent Variable: Igd Performancementioning

confidence: 99%

Innovation-driven industrial green development: The moderating role of regional factors

Wang

Chen

et al. 2019

Journal of Cleaner Production

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“…For example, Chakrabarti and Sen [31] used the Dow-Jones Global-Total-Stock-Market Index to set stocks of environmentally friendly companies as green stocks and tested the effectiveness of a green portfolio consisting of a regional green index. Allevi et al [32] argued that the green investing is a subset of socially responsible investment (SRI), thus determining green funds in their study with the help of a series of indicators of corporate social responsibility.…”

Section: Research On Green Investmentmentioning

confidence: 99%

Efficiency Evaluation and Selection Strategies for Green Portfolios under Different Risk Appetites

Liu

Ding

2021

Sustainability

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Since investors have diverse risk motives for green investments, this paper uses data envelopment analysis (DEA) and simulation to accurately evaluate the efficiency of green portfolios from the perspective of investors’ subjective risks and accordingly provide suitable investment selection strategies. On the one hand, the paper integrates investors’ risk preferences with efficiency evaluation models under the framework of behavioral finance, and then constructs a green portfolio efficiency evaluation model based on cumulative prospect theory on the basis of defining green portfolio efficiency. On the other hand, by bringing realistic Chinese stock data into the evaluation model and solving it with the help of large number iteration and DEA, the trends of frontier movements and selection options of green portfolios under the influence of different risk preferences are obtained and analyzed. The empirical simulation reveals that: (1) if investors’ risk aversion at return rises, it will not only reduce the expected prospective value of the green portfolio, but also shift down and flatten the frontier of the green portfolio; indicating that investors will tend to reduce their risk-tolerant attitude and prefer a conservative strategy under the same value condition. (2) If investors increase their risk-seeking in the case of losses, this will raise the expected prospect value of the green portfolio and lead to an inward and steeper green portfolio frontier; suggesting that, given equal value, investors prefer to increase their risk-taking capacity and use aggressive strategies in the hope of turning the profit around. (3) The efficiency results of green portfolios are very sensitive to changes in investors’ risk preferences, suggesting that investors need to select and match green portfolios with their own risk appetite levels. The above findings enrich and expand the risk types and evaluation models in previous green investment studies from the perspective of investors’ subjective risk.

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“…In short, the SRI consists of incorporating not only financial aspects such as return, risk and liquidity into the asset selection process, but also other aspects related to the company's good practices in environmental, social or corporate governance matters (ESG). Therefore, the SRI concept is a broad investment idea that encompasses other more specific approaches such as the so-called green investment that only considers the environmental objectives of sustainable investors [13][14][15] or impact investment that considers social aspects [16].…”

Section: Literature Reviewmentioning

confidence: 99%

Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas

Miralles‐Quirós

Nogueira

2020

Sustainability

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This study focuses on assets related to Sustainable Development Goals (SDGs), which are the most recent aspect of the Socially Responsible Investment framework and have caught the attention of investors due to their investment opportunities as well as the global challenges that can be achieved. The profitability of developing an investment strategy is shown based on the value of the alphas obtained from the estimation of the Fama-French five-factor model when compared to an equally weighted portfolio, even when transaction costs are taken into consideration. In addition, it is proven that investors should focus their investments on two main SDGs: Good health and well-being (Goal 3) and Industry, innovation and infrastructure (Goal 9).

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Measuring the environmental performance of green SRI funds: A DEA approach

Cited by 57 publications

References 13 publications

Innovation-driven industrial green development: The moderating role of regional factors

Innovation-driven industrial green development: The moderating role of regional factors

Efficiency Evaluation and Selection Strategies for Green Portfolios under Different Risk Appetites

Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas

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