Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239540 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-12
Publisher: 
MDPI, Basel
Abstract: 
In this paper, we explore the relationship between a firm's environmental policies and their risk-adjusted stock returns, using a sample of stock exchange-listed Australian firms over the period of 2010-2018. We observed a positive and statistically significant relationship suggesting that a firm's environmental policies partially explain their stock performance. Moreover, we found that investors in the Australian market significantly value a companies' efforts to reduce emissions, and that this primarily drives the investors' observed reaction to a firm's social corporate policies. Next, we formed portfolios and observed that portfolios formed on high environmental, social, and governance (ESG) Environmental Pillar scores consistently outperformed those formed on low-ESG Environmental Pillar scores. Overall, our results lend support to the notion that investors in the Australian market value information about a firm's social policies.
Subjects: 
environmental policies
ESG scores
firm performance
SRI
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size
271.17 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.