Responsible Minus Irresponsible - a determinant of equity risk premia?
| العنوان: | Responsible Minus Irresponsible - a determinant of equity risk premia? |
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| المؤلفون: | Federico Pippo, Thomas Husse |
| المصدر: | Journal of Sustainable Finance & Investment. :1-23 |
| بيانات النشر: | Informa UK Limited, 2021. |
| سنة النشر: | 2021 |
| مصطلحات موضوعية: | Equity risk, Financial performance, Financial economics, education, Economics, Econometrics and Finance (miscellaneous), Risk factor (finance), Multiple factors, Market risk, Economics, Portfolio, Business and International Management, Finance, Factor analysis, A determinant |
| الوصف: | This study attempts to explain the relationship between ESG and financial performance. It utilises a new method for constructing an ESG portfolio with a high exposure towards ESG that eliminates the inherent correlation between size and ESG. In that perspective, a zero initial investment portfolio that goes long in responsible companies and short in irresponsible companies is adopted;hence, developing a 'Responsible Minus Irresponsible' (RMI) factor mimicking portfolio. A pricing anomaly test on this portfolio suggests that ESG exerts superior financial performance, mostly as a result of a significant lower market risk. Performing a cross-sectional analysis of different factor models on an international set of company returns indicates a negative effect of ESG on expected returns. However, the ESG factor becomes insignificant once multiple factors are introduced as explanatory variables. Consequently, ESG represents a pricing anomaly but does not act as an independent risk factor. |
| تدمد: | 2043-0809 2043-0795 |
| الوصول الحر: | https://explore.openaire.eu/search/publication?articleId=doi_________::abd5371453dc919c423b73c96e52ac43Test https://doi.org/10.1080/20430795.2021.1961557Test |
| رقم الانضمام: | edsair.doi...........abd5371453dc919c423b73c96e52ac43 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 20430809 20430795 |
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