Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/311039 
Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Journal of Asset Management [ISSN:] 1479-179X [Volume:] 24 [Issue:] 3 [Publisher:] Palgrave Macmillan [Place:] London [Year:] 2023 [Pages:] 165-172
Verlag: 
Palgrave Macmillan, London
Zusammenfassung: 
We investigate the returns from investing according to corporate social responsibility (CSR) criteria using factor model estimations for a large sample of U.S. firms over the period 2003–2017. To identify the CSR intensity that allows investors to optimize their portfolio returns for a given amount of risk, we relate factor-adjusted portfolio returns to a variety of risk measures. This consideration is important as equity risks have been shown to significantly decrease with CSR. Surprisingly, our results indicate that the lowest CSR-rated portfolios are able to outperform their higher CSR-rated counterparts: Not only do they show higher factor-adjusted returns but they also deliver higher return-to-risk ratios. This indicates that equity returns in our sample decrease even more strongly than the corresponding risks with rising CSR activity.
Schlagwörter: 
Stock returns
Risk-return
CSR
ESG
Factor analysis
JEL: 
G11
G12
O16
Q56
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
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Dokumentart: 
Article
Dokumentversion: 
Published Version

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