The drivers of the relationship between corporate environmental performance and stock market returns

References

• Ambec , S. and Lanoie , P. 2008 . Does it pay to be green? A systematic overview . Academy of Management Perspectives , 22 : 45 – 62 .
   Web of Science ®Google Scholar
• Araña , J. E. and Léon , C. 2009 . The role of environmental management in consumers preferences for corporate social responsibility . Environmental and Resource Economics , 44 : 495 – 506 .
   Web of Science ®Google Scholar
• Bauer , R. , Koedijk , K. and Otten , R. 2005 . International evidence on ethical mutual fund performance and investment style . Journal of Banking and Finance , 29 : 1751 – 67 .
   Web of Science ®Google Scholar
• Brammer , S. , Brooks , C. and Pavelin , S. 2006 . Corporate social performance and stock returns: UK evidence from disaggregate measures . Finance Management , 35 : 97 – 116 .
   Web of Science ®Google Scholar
• Carhart , M. 1997 . On persistence in mutual fund performance . Journal of Finance , 52 : 57 – 82 .
   Web of Science ®Google Scholar
• Cavenaille, L., D. Dubois, and J. Hlávka, 2009. Cross-sectional tests of Fama and French three-factor model and Fama–MacBeth method. Ecole de Gestion de l'Université de Liège. Working Paper No. 200911
   Google Scholar
• Chatterji , A. K. , Levine , D. and Toffel , M. W. 2009 . How well do social ratings actually measure corporate social responsibility? . Journal of Economics and Management Strategy , 18 : 125 – 69 .
   Web of Science ®Google Scholar
• Cheng, T.C., H.N. Lai, and P.F. Tsai, 2005. On the two-stage estimation of Fama–French three factor models: evidence from Taiwan. Working Paper
   Google Scholar
• Chung , Y. P. , Johnson , H. and Schill , H. M.J. 2006 . Asset pricing when returns are nonnormal: Fama–French factors versus higher-order systematic comoments . Journal of Business , 79 : 923 – 40 .
   Web of Science ®Google Scholar
• Cox, J., and L. Glapa, 2009. Credit crisis timeline. The University of Iowa Center for International Finance and Development, July 1. http://ebook.law.uiowa.edu/ebook/sites/default/files/Financial_Crisis_Timeline.pdf
   Google Scholar
• Dam, L. 2008. Corporate social responsibility and financial markets. Groningen: Thesis publishers
   Google Scholar
• Derwall , J. , Guenster , N. , Bauer , R. and Koedijk , K. 2005 . The eco-efficiency premium puzzle . Financial Analysts Journal , 61 : 51 – 63 .
   Web of Science ®Google Scholar
• Derwall , J. , Koedijk , K. and ter Horst , J. 2011 . A tale of values-driven and profit-seeking social investors . Journal of Banking and Finance , 35 : 2137 – 47 .
   Web of Science ®Google Scholar
• Donaldson , T. and Preston , L. E. 1995 . The stakeholder theory of the corporation: Concepts, evidence, and implications . Academy of Management Review , 20 : 65 – 91 .
   Web of Science ®Google Scholar
• Edmans , A. D. 2011 . Does the market fully value intangibles? Employee satisfaction and equity prices . Journal of Financial Economics , 101 : 621 – 40 .
   Web of Science ®Google Scholar
• Eurosif. 2010. European SRI Study 2010. http://www.eurosif.org/research/eurosif-sri-study (accessed 18 October 2010)
   Google Scholar
• Fama , E. F. and French , K. R. 1992 . The cross-section of expected stock returns . Journal of Finance , 47 : 427 – 65 .
   Web of Science ®Google Scholar
• Fama , E. F. and French , K. R. 1993 . Common risk factors in the returns on stocks and bonds . Journal of Financial Economics , 33 : 3 – 56 .
   Web of Science ®Google Scholar
• Fama , E. F. and French , K. R. 2004 . The capital asset pricing model: Theory and evidence . Journal of Economic Perspectives , 18 : 26 – 46 .
   Google Scholar
• Fama , E. F. and French , K. R. 2007 . Disagreement, tastes and asset prices . Journal of Financial Economics , 83 : 667 – 89 .
   Web of Science ®Google Scholar
• Fama , E. F. and MacBeth , J. D. 1973 . Risk, return and equilibrium: Empirical tests . Journal of Political Economy , 81 : 607 – 36 .
   Web of Science ®Google Scholar
• Feldman, S.J., P.A. Soyka, and P. Ameer, 1996. Does improving a firm's environmental management system and environmental performance result in a higher stock price? Working Paper, November, ICF Kaiser International Inc
   Google Scholar
• Filbeck , G. and Gorman , R. F. 2004 . The relationship between the environmental and financial performance of public utilities . Environmental and Resource Economics , 29 : 137 – 157 .
   Web of Science ®Google Scholar
• Fombrun , C. and Shanley , M. 1990 . What's in a name? Reputation building and corporate strategy . Academy of Management Journal , 33 : 233 – 58 .
   Web of Science ®Google Scholar
• Freeman , R. E. 1984 . Strategic management: A stakeholder approach , Boston : Pitman Publishing .
   Google Scholar
• Friedman, M. 1970. The social responsibility of business is to increase its profits. New York Times, September 13
   Google Scholar
• Galema , R. , Plantinga , A. and Scholtens , B. 2008 . The stocks at stake: Return and risk in socially responsible investing . Journal Bank Finance , 32 : 2646 – 54 .
   Web of Science ®Google Scholar
• Goss , A. and Roberts , G. S. 2010 . The impact of corporate social responsibility on the cost of bank loans . Journal of Bank Finance , 35 : 1794 – 1810 .
   Google Scholar
• Hamilton , S. , Jo , H. and Statman , M. 1993 . Doing well while doing good? The investment performance of socially responsible mutual funds . Financial Analysts Journal , 49 : 62 – 6 .
   Google Scholar
• Hart , S. L. and Ahuja , G. 1996 . Does it pay to be green? An empirical examination of the relationship between emission reduction and firm performance . Business Strategy and the Environment , 5 : 30 – 7 .
   Google Scholar
• Heal , G. M. 2005 . Corporate social responsibility: An economic and financial framework . Geneva Papers on Risk and Insurance , 30 : 387 – 409 .
   Web of Science ®Google Scholar
• Heinkel , R. , Kraus , A. and Zechner , J. 2001 . The effect of green investment on corporate Behaviour . Journal of Financial and Quantitative Analysis , 36 : 431 – 49 .
   Web of Science ®Google Scholar
• Herremans , I. M. , Akothaporn , P. and McInnes , M. 1993 . An investigation of corporate social responsibility reputation and economic performance . Account Organizations and Society , 18 : 587 – 604 .
   Web of Science ®Google Scholar
• Hong , H. and Kacperczyk , M. 2009 . The price of sin: The effects of social norms on markets . Journal of Financial Economics , 93 : 15 – 36 .
   Web of Science ®Google Scholar
• Jensen , M. C. 1968 . The performance of mutual funds in the period 1945–1964 . Journal of Finance , 23 : 389 – 416 .
   Web of Science ®Google Scholar
• Jensen , M. C. 2002 . Value maximization, stakeholder theory, and the corporate objective function . Business Ethics Quarterly , 12 : 235 – 56 .
   Web of Science ®Google Scholar
• Jones , T. M. 1995 . Instrumental stakeholder theory: A synthesis of ethics and economics . Academy of Management Review , 20 : 404 – 37 .
   Web of Science ®Google Scholar
• King , A. A. and Lenox , M. J. 2001 . Does it really pay to be green? An empirical study of firm environmental and financial performance . Journal of Industrial Ecology , 5 : 105 – 16 .
   Google Scholar
• King , A. A. and Lenox , M. J. 2002 . Exploring the locus of profitable pollution reduction . Management Science , 48 : 289 – 99 .
   Web of Science ®Google Scholar
• Klassen , R. D. and McLaughlin , C. P. 1996 . The impact of environmental management on firm performance . Management Science , 42 : 1199 – 214 .
   Web of Science ®Google Scholar
• Lorraine , N. H.J. , Collison , D. J. and Power , D. M. 2004 . An analysis of the stock market impact of environmental performance information . Account Forum , 28 : 7 – 26 .
   Google Scholar
• Makower, J. 2009. Inside newsweek's new green corporate rankings, September 21. http://www.greenbiz.com/blog/2009/09/21/inside-newsweeks-new-green-corporate-rankings
   Google Scholar
• Margolis, J.D., Elfenbein, H.A., and Walsh, J.P. 2007. Does it pay to be good? A meta-analysis and redirection of research on the relationship between corporate social and financial performance. Working Paper. Harvard University
   Google Scholar
• McGinn , D. 2009 . The greenest big companies in America . Newsweek , 154 : 34 – 54 .
   Google Scholar
• McWilliams , A. and Siegel , D. 2001 . Corporate social responsibility: A theory of the firm perspective . Academy of Management Review , 26 : 117 – 27 .
   Web of Science ®Google Scholar
• Merton , R. C. 1987 . A simple model of capital market equilibrium with incomplete information . Journal of Finance , 42 : 483 – 510 .
   Web of Science ®Google Scholar
• Newey , W. K. and West , K. D. 1987 . A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 708 .
   Web of Science ®Google Scholar
• Orlitzky , M. , Schmidt , F. L. and Rynes , S. L. 2003 . Corporate social and financial performance: a meta-analysis . Organization Studies , 24 : 403 – 41 .
   Web of Science ®Google Scholar
• Pantzalis , C. and Park , J. C. 2009 . Equity market valuation of human capital and stock returns . Journal of Bank Finance , 33 : 1610 – 23 .
   Web of Science ®Google Scholar
• Pasquariello, P. 1999. The Fama-MacBeth approach revisited. New York University – Stern School of Business Working Paper
   Google Scholar
• Porter , M. E. and van der Linde , C. 1995 . Green and competitive: Ending the stalemate . Harvard Business Review , (September–October) : 120 – 34 .
   Google Scholar
• Renneboog , L. , ter Horst , J. and Zhang , C. 2008 . The price of ethics and stakeholder governance: The performance of socially responsible mutual funds . Journal of Corporate Finance , 14 : 302 – 28 .
   Web of Science ®Google Scholar
• Renneboog , L. , ter Horst , J. and Zhang , C. 2011 . Is ethical money financially smart? Nonfinancial attributes and money flows of socially responsible investment funds . Journal of Financial Intermediation , 20 : 562 – 88 .
   Web of Science ®Google Scholar
• Russo , M. V. and Fouts , P. A. 1997 . A resource-based perspective on corporate environmental performance and profitability . Academy of Management Journal , 40 : 534 – 59 .
   Web of Science ®Google Scholar
• Scholtens , B. 2008 . A note on the interaction between corporate social responsibility and financial performance . Ecological Economics , 68 : 46 – 55 .
   Web of Science ®Google Scholar
• Semenova, N., and L.G. Hassel, 2008. Industry risk moderates the relation between environmental and financial performance. Sustainable Investment Research Platform Working Papers 08-02, September
   Google Scholar
• Shanken , J. 1992 . On the estimation of beta-pricing models . Review of Financial Studies , 5 : 1 – 33 .
   Web of Science ®Google Scholar
• Sharpe , W. F. 1964 . Capital asset prices: A theory of market equilibrium under conditions of risk . Journal of Finance , 19 : 425 – 42 .
   Web of Science ®Google Scholar
• Smith , H. J. 2003 . The shareholders vs. stakeholders debate . MIT Sloan Management Review , (Summer) : 85 – 90 .
   Google Scholar
• Social Investment Forum . 2010 . Socially responsible investing trends in the United States , Washington , DC : SIF .
   Google Scholar
• Statman , M. , Fisher , K. and Anginer , D. 2009 . Affect in a behavioural asset-pricing model . Financial Analysts Journal , 64 : 20 – 9 .
   Google Scholar
• Sternberg , E. 1996 . Stakeholder theory exposed . Economic Affairs , 16 : 36 – 8 .
   Google Scholar
• Telle , K. 2006 . ‘It pays to be green’ – A premature conclusion? . Environmental and Resource Economics , 35 : 195 – 220 .
   Web of Science ®Google Scholar
• Walley , N. and Whitehead , B. 1994 . It's not easy being green . Harvard Business Review , (May–June) : 46 – 52 .
   Google Scholar
• White , H. 1980 . A heteroskedasticity-consistent covariance matrix estimator and a direct test for Heteroskedasticity . Econometrica , 48 : 817 – 38 .
   Web of Science ®Google Scholar
• Young , M. R. and Lenk , P. J. 1998 . Hierarchal Bayes methods for multifactor model estimation and portfolio selection . Management Science , 44 : 111 – 24 .
   Web of Science ®Google Scholar
• Ziegler , A. , Schröder , M. and Rennings , K. 2007 . The effect of environmental and social performance on the stock performance of European corporations . Environmental and Resource Economics , 37 : 661 – 80 .
   Web of Science ®Google Scholar
• Ziegler , A. 2012 . Is it beneficial to be included in a sustainability stock index? A panel data study for European firms . Environmental and Resource Economics , 52 : 301 – 25 .
   Web of Science ®Google Scholar