Corporate sustainability performance and idiosyncratic risk: A global perspective

Lee, Darren D. and Faff, Robert W. (2009) Corporate sustainability performance and idiosyncratic risk: A global perspective. The Financial Review, 44 2: 213-237. doi:10.1111/j.1540-6288.2009.00216.x

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Author Lee, Darren D.
Faff, Robert W.
Title Corporate sustainability performance and idiosyncratic risk: A global perspective
Journal name The Financial Review   Check publisher's open access policy
ISSN 0732-8516
Publication date 2009-05
Year available 2009
Sub-type Article (original research)
DOI 10.1111/j.1540-6288.2009.00216.x
Volume 44
Issue 2
Start page 213
End page 237
Total pages 25
Editor Cowan, A.
Campbell, C.
Place of publication Hoboken, NJ, United States
Publisher Wiley-Blackwell
Collection year 2010
Language eng
Subject C1
150299 Banking, Finance and Investment not elsewhere classified
910109 Savings and Investments
Abstract Does investing in sustainability leaders affect portfolio performance? Analyzing two mutually exclusive leading and lagging global corporate sustainability portfolios (Dow Jones) finds that (1) leading sustainability firms do not underperform the market portfolio, and (2) their lagging counterparts outperform the market portfolio and the leading portfolio. Notably, we find leading (lagging) corporate social performance (CSP) firms exhibit significantly lower (higher) idiosyncratic risk and that idiosyncratic risk might be priced by the broader global equity market. We develop an idiosyncratic risk factor and find that its inclusion significantly reduces the apparent difference in performance between leading and lagging CSP portfolios.
Keyword sustainability
corporate social performance
corporate financial performance
idiosyncratic risk
global evidence
best of sector
Q-Index Code C1
Q-Index Status Confirmed Code

Document type: Journal Article
Sub-type: Article (original research)
Collections: 2010 Higher Education Research Data Collection
UQ Business School Publications
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Created: Wed, 07 Oct 2009, 17:28:20 EST by Karen Morgan on behalf of UQ Business School