An empirical study of the world price of sustainability

Xiao, Yuchao, Faff, Robert, Gharghori, Philip and Lee, Darren (2013) An empirical study of the world price of sustainability. Journal of Business Ethics, 114 2: 297-310. doi:10.1007/s10551-012-1342-2

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Author Xiao, Yuchao
Faff, Robert
Gharghori, Philip
Lee, Darren
Title An empirical study of the world price of sustainability
Journal name Journal of Business Ethics   Check publisher's open access policy
ISSN 0167-4544
1573-0697
Publication date 2013-05
Year available 2012
Sub-type Article (original research)
DOI 10.1007/s10551-012-1342-2
Open Access Status
Volume 114
Issue 2
Start page 297
End page 310
Total pages 14
Place of publication Dordrecht, The Netherlands
Publisher Springer Netherlands
Collection year 2013
Language eng
Abstract The core goal of this study is to empirically investigate whether there is a “world price” of corporate sustainability. This is assessed in the context of standard asset pricing models—in particular, by asking whether a risk premium attaches to a sustainability factor after controlling for the Fama–French factors. Both time-series and cross-sectional tests are formulated and applied. The results show that (1) global Fama–French factors have strong power to explain global equity returns and (2) sustainability investments have no significant impact on global equity returns. The absence of a significant relationship between sustainability and returns implies that large institutional investors are free to implement sustainability mandates without fear of breaching their fiduciary duties from realising negative returns due to incorporating a sustainability investment process.
Keyword Sustainability
Corporate social performance
Global equitites
World price
Fama-French model
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Published online: 20 May 2012.

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2013 Collection
UQ Business School Publications
 
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Created: Tue, 30 Oct 2012, 09:36:42 EST by Karen Morgan on behalf of UQ Business School