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

Miralles‐Quirós, José Luis; Miralles‐Quirós, María Mar; Nogueira, José Manuel

doi:10.3390/su12051842

Cited by 30 publications

(12 citation statements)

References 79 publications

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“…Regarding SRI index funds, Chen and Scholtens (2018) reveal that active and passive SRI funds do not differ in their risk‐adjusted returns. In the ETF arena, Miralles‐Quirós, Miralles‐Quirós, and Nogueira (2019, 2020) address the performance of socially responsible ETFs, and document the benefits of investing in ETFs with specific sustainable attributes. Miralles‐Quirós and Miralles‐Quirós (2019) focus on alternative energy ETFs, and conclude that their performance is better than that of conventional energy ETFs.…”

Section: Financial Effects Of Srimentioning

confidence: 99%

Socially responsible investing worldwide: Do markets value corporate social responsibility?

Badía

Cortez

Agudo

2020

Corp Soc Responsibility Env

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This study examines the performance of socially responsible stock portfolios based on Environmental, Social, and Governance (ESG) ratings in four regions: North America, Europe, Japan, and Asia Pacific. Our findings reveal that the financial impact of socially responsible investing is geographically dependent, varies over time, and relies on the screening dimension considered. Our results support the errors-in-expectations hypothesis in the European and Japanese markets, but any mispricing of socially responsible stocks faded over time as markets become aware of the financial implications of corporate social responsibility. In the Asia Pacific market, the results are consistent with the shunned-stock hypothesis. Furthermore, the results suggest that ESG value-relevant information is properly valued in North America. Overall, we conclude that different markets have gone through different stages with regard to their understanding of the impact of sustainable practices on firm valuations.

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Section: Financial Effects Of Srimentioning

confidence: 99%

Socially responsible investing worldwide: Do markets value corporate social responsibility?

Badía

Cortez

Agudo

2020

Corp Soc Responsibility Env

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“…In previous studies, the scholars unanimously state the critical necessity (mandatory character) for sustainable development (implementation of the SDGs) of investments (as financial resources), which is noted in the works of Ahmad et al (2021); Alshater et al (2021);de Souza Cunha et al (2021); Miralles-Quirós et al (2020); Vanwalleghem and Mirowska (2020); Wang et al (2020), andYoshino et al (2021), and corporate social responsibility (as readiness and striving to invest in sustainable development), which is noted in the works of Anis et al (2019); Buhmann et al (2019); Castillo-Villar (2020); López-Concepción et al ( 2021), and Quaranta and Di Carlo (2020). However, investments and corporate social responsibility are studied in isolation, due to which the existing literature forms a fragmentary image of the corporate support for sustainable development, which is a literature gap.…”

Section: Introductionmentioning

confidence: 99%

Financial Risk Management Based on Corporate Social Responsibility in the Interests of Sustainable Development

Vagin

Kostyukova

Spiridonova

et al. 2022

Risks

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This paper aims to study the perspectives of sustainable development amid the COVID-19 pandemic and crisis in 2021, backed by financial risk management and corporate social responsibility. To achieve this goal, the authors use the methods of regression analysis, horizontal and trend analysis, and variation analysis. As a result, it is proven—for the first time—that in isolation, investments and corporate social responsibility do not contribute positively to sustainable development. In addition, the authors determine the absence of the outflow of investments from the world economy during crises. Based on this, a new approach to crisis management of sustainable development is developed—it is based on stimulating corporate social responsibility, for which the complex recommendations in the sphere of state management are offered. The theoretical significance of the conclusions made consists in specifying the essence of financial risk management of sustainable development, which has to be conducted with a strict connection to and based on corporate social responsibility. The practical significance of the developed new approach and offered recommendations on its practical implementation consists of strengthening the scientific and methodological provision of economic crisis management of COVID-19 and the maximization of its contribution to sustainable development to support the Decade of Action.

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“…Socially responsible investments (SRIs) consist of incorporating a company's good practices regarding environmental, social and corporate governance into the asset selection process (Miralles-Quir os et al, 2020). SRIs and renewable energy have become increasingly relevant in recent decades (Ivanisevic Hernaus, 2019;McCollum et al, 2018).…”

Section: Introductionmentioning

confidence: 99%

Is it attractive to invest in alternative energy? Evidence from a five-factor Fama-French model for regional DJSI and renewable stock indexes

García-Amate

Orellana²,

Ramirez³

2021

SAMPJ

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PurposeThis study aims to examine the attractiveness of the regional Dow Jones Sustainability Indexes (DJSI) and several renewable energy indexes during December 31, 2010 to December 31, 2019. This study uses a risk-return analysis and a set of explanatory factors. Lastly, this study conducts a comparative analysis of these indexes with conventional indexes. Design/methodology/approachThis study uses data from Eikon, a Thomson Reuters database. To analyze the indexes’ behavior, this study uses the indexes’ annual return as of December 31 for each year. Next, this study estimates the Fama and French’s five-factor model using an ordinary least squares regression for regional DJSI and renewable energy indexes. FindingsThe results show that regional DJSIs delivered returns both above and below conventional indexes. In contrast, renewable energy indexes had high betas and negative returns, making them unattractive to investors. Practical implicationsThe results imply the need for public financing programs that support the transition to a sustainable economy and reduce risk and increase the return on private investment. Social implicationsThis study provides insights for policymakers regarding the importance of sustainability indexes in the transition to a green economy. Originality/valueThis study contributes to the growing literature on Fama and French’s five-factor model of sustainability indexes, especially in the current context characterized by intense green political changes. In particular, this study complements the few studies that have addressed the economic implications of renewable energy indexes in markets.

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

Cited by 30 publications

References 79 publications

Socially responsible investing worldwide: Do markets value corporate social responsibility?

Socially responsible investing worldwide: Do markets value corporate social responsibility?

Financial Risk Management Based on Corporate Social Responsibility in the Interests of Sustainable Development

Is it attractive to invest in alternative energy? Evidence from a five-factor Fama-French model for regional DJSI and renewable stock indexes

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