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Abstract
The eco-efficiency approach [Schaltegger, S., and A. Sturm. 1990. “Ökologische Rationalität.” Die Unternehmung 44 (4): 273–290; Holliday Jr., C. O., S. Schmidheiny, and P. Watts. 2002. Walking the Talk: The Business Case for Sustainable Development. San Francisco: Berrett-Koehler Publishers] suggest an outclassing shareholder value for sustainable investments as a result of more efficient risk and resource management, broader consumer acceptance and legitimation, fewer stakeholder conflicts, a higher level of labour satisfaction and a higher innovation rate. By contrast, modern portfolio theory, according to Markowitz [1952. “Portfolio Selection.” The Journal of Finance 7 (1): 77–91] and Sharpe [1963. “A Simplified Model for Portfolio Analysis.” Management Science 9 (2): 277–293], postulates a limited risk diversification and thus sub-optimal risk-adjusted returns for any less than perfect diversified asset portfolio like sustainable investment funds. Costs for running a firm ‘sustainable’ are supposed to decrease profits and destroy shareholder value even further. However, most previous empirical research found sustainable investment to be priced adequately. The scope of this study is to validate and update these results for the recent financial crisis from mid-2007 until mid-2011 including both strong bear and bull market climates. Comparing the performance of 47 actively managed German sustainable investment funds with the Morgan Stanley Capital International World Index as a benchmark, we do not find significant evidence for a mispricing of sustainable investments both during and post the financial crisis. The results underline that investors in German sustainability funds still do not have to sacrifice financial performance. For companies, our findings confirm the effectiveness to use stock markets as a source of capital even in the financial crisis.