853
Views
18
CrossRef citations to date
0
Altmetric
Articles

An equation with many variables: unhiding the relationship between sustainability and investment performance

&
Pages 110-126 | Received 16 Jul 2013, Accepted 21 Aug 2013, Published online: 10 Feb 2014

References

  • Adler, T., and M. Kritzman. 2008. “The Cost of Socially Responsible Investing.” The Journal of Portfolio Management 35 (1): 52–56. doi:10.3905/JPM.2008.35.1.52 doi: 10.3905/JPM.2008.35.1.52
  • Ambec, S., and P. Lanole. 2008. “Does It Pay to be Green? A Systematic Overview.” Academy of Management Perspectives 22 (4): 45–62. doi:10.5465/AMP.2008.3559035 doi: 10.5465/AMP.2008.35590353
  • Ameer, R., and R. Othman. 2011. “Sustainability Practices and Corporate Financial Performance: A Study Based on the Top Global Corporations.” Journal of Business Ethics 108 (1): 61–79. doi:10.1007/s10551-011-1063-y doi: 10.1007/s10551-011-1063-y
  • Bamberg, G., and A. Neuhierl. 2008. “Kann das Minimumvarianz-Portfolio eine bessere Performance als der Aktienindex besitzen? [German for: Can the minimum-variance portfolio have a better financial performance than the index?].” Die Betriebswirtschaft 68 (6): 637–649.
  • Barrada-Tarrazona, I., J. C. Matallín-Sáez, and M. R. Balaguer-Franch. 2011. “Measuring Investor's Socially Responsible Preferences in Mutual Funds.” Journal of Business Ethics 103 (2): 305–330. doi:10.1007/s10551-011-0868-z doi: 10.1007/s10551-011-0868-z
  • Bauer, R., J. Derwall, and R. Otten. 2007. “The Ethical Mutual Fund Performance Debate: New Evidence from Canada.” Journal of Business Ethics 70 (2): 111–124. doi:10.1007/s10551-006-9099-0 doi: 10.1007/s10551-006-9099-0
  • Bauer, R., K. Koedijk, and R. Otten. 2005. “International Evidence on Ethical Mutual Fund Performance and Investment Style.” Journal of Banking & Finance 29 (7): 1751–1767. doi:10.1016/j.jbankfin.2004.06.035 doi: 10.1016/j.jbankfin.2004.06.035
  • Beal, D. J., M. Goyen, and P. Phillips. 2005. “Why Do We Invest Ethically?” The Journal of Investing 14 (3): 66–77. doi:10.3905/joi.2005.580551 doi: 10.3905/joi.2005.580551
  • Benson, K. L., T. J. Brailsford, and J. E. Humphrey. 2006. “Do Socially Responsible Fund Managers Really Invest Differently?” Journal of Business Ethics 63 (2): 131–148. doi:10.1007/s10551-006-0003-8 doi: 10.1007/s10551-005-2410-7
  • Best, M. J., and R. R. Grauer. 1992. “Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected Returns.” Journal of Financial and Quantitative Analysis 27 (4): 513–537. doi:10.2307/2331138 doi: 10.2307/2331138
  • Beyhaghi, M., and J. P. Hawley. 2012. “Modern Portfolio Theory and Risk Management: Assumptions and Unintended Consequences.” Journal of Sustainable Finance & Investment 3 (1): 17–37. doi:10.1080/20430795.2012.738600 doi: 10.1080/20430795.2012.738600
  • Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) (German Banking Supervision). 2002. Merkblatt - Unterlagen für die Prüfung der Eignung eines eigenen Risikomodells [German for: Instructions for the investigation of the assessment of a proprietary risk model]. BaFin Supervisory Guideline, Frankfurt am Main, Germany.
  • CFA Institute. 2008. Environmental, Social and Governance Factors at Listed Companies. A Manual for Investors. New York: CFA Institute.
  • Clarke, R., H. De Silva, and S. Thorley. 2006. “Minimum-Variance Portfolios in the U.S. Equity Market.” Journal of Portfolio Management 33 (1): 10–24. doi:10.3905/jpm.2006.661366 doi: 10.3905/jpm.2006.661366
  • Climent, F., and P. Soriano. 2011. “Green and Good? The Investment Performance of US Environmental Mutual Funds.” Journal of Business Ethics 103 (2): 275–287. doi:10.1007/s10551-011-0865-2 doi: 10.1007/s10551-011-0865-2
  • Cortez, M. C., F. Silva, and N. Areal. 2009. “The Performance of European Socially Responsible Funds.” Journal of Business Ethics 87 (4): 573–588. doi:10.1007/s10551-008-9959-x doi: 10.1007/s10551-008-9959-x
  • CSR Europe and Deloitte. 2003. Investing in Responsible Business. The 2003 Survey of European Fund Managers, Financial Analysts and Investor Relations Officers. Brussels: CSR Europe Study.
  • De Bakker, F. G. A., P. Groenewegen, and F. Den Hond. 2005. “A Bibliometric Analysis of 30 Years of Research and Theory on Corporate Social Responsibility and Corporate Social Performance.” Business and Society 44 (3): 283–317. doi:10.1177/0007650305278086 doi: 10.1177/0007650305278086
  • De Colle, S., and J. G. York. 2010. “Why Wine Is not Glue? The Unresolved Problem of Negative Screening in Socially Responsible Investment.” Journal of Business Ethics 85 (1): 83–95. doi:10.1007/s10551-008-9949-z
  • De Haan, M., D. Lammertjan, and B. Scholtens. 2012. “The Drivers of the Relationship between Corporate Environmental Performance and Stock Market Returns.” Journal of Sustainable Finance & Investment 2 (3–4): 338–375. doi:10.1080/20430795.2012.738601
  • Derwall, J., N. Guenster, R. Bauer, and K. Koedijk. 2005. “The Eco-efficiency Premium Puzzle.” Financial Analysts Journal 61 (2): 51–63. doi:10.2469/dig.v35.n3.1729 doi: 10.2469/faj.v61.n2.2716
  • Derwall, J., and K. Koedijk. 2009. “Socially Responsible Fixed-Income Funds.” Journal of Business Finance, and Accounting 36 (1–2): 210–229. doi:10.1111/j.1468-5957.2008.02119.x doi: 10.1111/j.1468-5957.2008.02119.x
  • Deutsche Börse Group. 2008. DAX. Der Top-Index der Deutschen Börse. [German for: The DAX index. Top index of the German stock exchange]. Frankfurt am Main: Deutsche Börse Publication.
  • Deutsche Börse Group. 2010. Historical Index Compositions of the Equity- and Strategy-Indices of Deutsche Börse. Version 3.18. Frankfurt am Main: Deutsche Börse Publication.
  • Dillenburg, S., T. Greene, and O. H. Erekson. 2003. “Approaching Socially Responsible Investment with a Comprehensive Rating Scheme: Total Social Impact.” Journal of Business Ethics 43 (3): 167–177. doi:10.1023/A:1022987127960 doi: 10.1023/A:1022987127960
  • Dimtcheva, L., G. Morrison, and J. Marsland. 2002. “Green with Envy. SRI Investors Face Additional, More Complex, Risks than Their Conventional Counterparts.” Commerzbank AG Working Paper, Frankfurt am Main.
  • Donohue, C., and K. Yip. 2003. “Optimal Portfolio Rebalancing with Transaction Costs.” Journal of Portfolio Management 29 (4): 49–63. doi:10.3905/jpm.2003.319894 doi: 10.3905/jpm.2003.319894
  • Elton, E. J., and M. J. Gruber. 1995. Modern Portfolio Theory and Investment Analysis. 5th ed. New York: John Wiley & Sons.
  • Eurosif. 2010. European SRI Study 2010. Brussels: Eurosif Publication.
  • Fabozzi, F. J. 1999. Investment Management. 2nd ed. Upper saddle River, NJ: Prentice Hall.
  • Geczy, C. C., R. F. Stambaugh, and D. Levin. 2005. “Investing in Socially Responsible Mutual Funds.” Discussion Paper. Philadelphia: University of Pennsylvania.
  • Gil-Bazo, J., P. Ruiz-Verdú, and A. A. P. Santos. 2010. “The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies.” Journal of Business Ethics 94 (2): 243–263. doi:10.1007/s10551-009-0260-4 doi: 10.1007/s10551-009-0260-4
  • Girard, E., H. Rahman, and B. Stone. 2007. “Socially Responsible Investments: Goody-Two-Shoes or Bad to the Bone?” The Journal of Investing 16 (1): 96–11. doi:10.3905/joi.2007.681827 doi: 10.3905/joi.2007.681827
  • Glosten, L. R., R. Jagannathan, and D. E. Runkle. 1993. “On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks.” The Journal of Finance 48 (5): 1779–1801. doi:10.1111/j.1540-6261.1993.tb05128.x doi: 10.1111/j.1540-6261.1993.tb05128.x
  • González-Hermosillo, B. 2008. “The Role of International Investors Risk Appetite in Global Financial Crises 1998–2007.” Working Paper of International Monetary Fund, Washington, DC.
  • Haszligler, R., and D. Reinhard. 2000. “Environmental-Rating: An Indicator of Corporate Environmental Performance.” Greener Management International 2000 (29): 18–26.
  • Haugen, R. A. 2001. Modern Investment Theory. 5th ed. Upper saddle River, NJ: Prentice Hall.
  • Hill, R. P., T. Ainscough, T. Shank, and D. Manullang. 2007. “Corporate Social Responsibility and Socially Responsible Investing: A Global Perspective.” Journal of Business Ethics 70 (2): 165–174. doi:10.1007/s10551-006-9103-8 doi: 10.1007/s10551-006-9103-8
  • Hofmann, E., E. Hoelzl, and E. Kirchler. 2008. “A Comparison of Models Describing the Impact of Moral Decision Making on Investment Decisions.” Journal of Business Ethics 82 (1): 171–187. doi:10.1007/s10551-007-9570-6 doi: 10.1007/s10551-007-9570-6
  • Humphrey, J. E., and D. D. Lee. 2011. “Australian Socially Responsible Funds: Performance, Risk and Screening Intensity.” Journal of Business Ethics 102 (4): 519–535. doi:10.1007/s10551-011-0836-7 doi: 10.1007/s10551-011-0836-7
  • Jobson, J. D., and R. M. Korkie. 1981. “Putting Markowitz Theory to Work.” The Journal of Portfolio Management 7 (4): 70–74. doi:10.3905/jpm.1981.408816 doi: 10.3905/jpm.1981.408816
  • Jobson, J. D., and R. M. Korkie. 1982. “Potential Performance and Tests of Portfolio Efficiency.” Journal of Financial Economics 10 (4): 433–466. doi:10.1016/0304-405X(82)90019-8 doi: 10.1016/0304-405X(82)90019-8
  • Jorion, P. 1997. Value at Risk. The New Benchmark for Controlling Market Risk. New York: McGraw-Hill.
  • Kempf, A., and P. Osthoff. 2007. “The Effect of Socially Responsible Investing on Portfolio Performance.” European Financial Management 13 (5): 908–922. doi:10.1111/j.1468-036X.2007.00402.x doi: 10.1111/j.1468-036X.2007.00402.x
  • Konno, H., and A. Wijayanayake. 2000. “Portfolio Optimization Problem Under Concave Transaction Costs and Minimal Transaction Unit Constraints.” Mathematical Programming 89 (2): 233–250. doi:10.1023/A:1013850928936 doi: 10.1007/PL00011397
  • Kreander, N., R. Gray, D. Power, and C. Sinclair. 2005. “Evaluating the Performance of Ethical and Non-ethical Funds: A Matched Pair Analysis.” Journal of Business Finance & Accounting 32 (7–8): 1465–1493. doi:10.1111/j.0306-686X.2005.00636.x doi: 10.1111/j.0306-686X.2005.00636.x
  • Kurtz, L. 2005. “Answers to Four Questions.” The Journal of Investing 14 (3): 125–139. doi:10.3905/joi.2005.580558 doi: 10.3905/joi.2005.580558
  • Lackmann, J., J. Ernstberger, and M. Stich. 2011. “Market Reactions to Increased Reliability of Sustainability Information.” Journal of Business Ethics 107 (2): 111–128. doi:10.1007/s10551-011-1026-3 doi: 10.1007/s10551-011-1026-3
  • Markowitz, H. M. 1952. “Portfolio Selection.” Journal of Finance 7 (1): 77–91. doi:10.1111/j.1540-6261.1952.tb01525.x
  • Markowitz, H. M. 1998. Portfolio Selection. Efficient Diversification of Investments. 2nd ed. Cambridge, MA: Blackwell.
  • Mauritz, C., and A. Wilhelm. 2005. Ergebnisse des zweiten vergleichenden Nachhaltigkeitsratings der DAX 30 Unternehmen [German for: Results from the second comparative SRI-rating of the DAX 30 companies]. Frankfurt am Main: Sustainalytics Publication.
  • Michaud, R. O. 1989. “The Markowitz Optimization Enigma: Is Optimized Optimal?” Financial Analysts Journal 45 (1): 31–42. doi:10.2469/faj.v45.n1.31 doi: 10.2469/faj.v45.n1.31
  • Michelson, G., N. Wailes, S. Van der Laan, and G. Frost. 2004. “Ethical Investment Processes and Outcomes.” Journal of Business Ethics 52 (1): 1–10. doi:10.1023/B:BUSI.0000033103.12560.be doi: 10.1023/B:BUSI.0000033103.12560.be
  • Milevsky, M. A., A. Aziz, A. Goss, A. T. Comeault, and D. Wheeler. 2006. “Cleaning a Passive Index: How to Use Portfolio Optimisation to Satisfy CSR Constraints.” The Journal of Portfolio Management 32 (3): 110–118. doi:10.3905/jpm.2006.628412 doi: 10.3905/jpm.2006.628412
  • Minor, D. B. 2007. “Finding the Cost of Socially Responsible Investing.” The Journal of Investing 16 (3): 54–70. doi:10.3905/joi.2007.694762 doi: 10.3905/joi.2007.694762
  • Orlitzky, M., F. L. Schmidt, and S. L. Rynes. 2003. “Corporate Social and Financial Performance: A Meta-Analysis.” Organization Studies 24 (3): 403–441. doi:10.1177/0170840603024003910 doi: 10.1177/0170840603024003910
  • Peterson, R. L. 2002. “Buy on the Rumor: Anticipatory Affect and Investor Behavior.” Journal of Behavioral Finance 3 (4): 218–26. doi:10.1207/S15327760JPFM0304_03
  • Peylo, B. T. 2012. “A Synthesis of Modern Portfolio Theory and Sustainable Investment.” The Journal of Investing 21 (4): 33–46. doi:10.3905/joi.2012.21.4.033
  • Rennings, K., M. Schröder, and A. Ziegler. 2003. “The Economic Performance of European Stock Corporations. Does Sustainability Matter?” Greener Management International 2003 (44): 33–43. doi: 10.9774/GLEAF.3062.2003.wi.00005
  • Rhodes, M. J. 2010. “Information Asymmetry and Socially Responsible Investment.” Journal of Business Ethics 95 (1): 145–150. doi:10.1007/s10551-009-0343-2 doi: 10.1007/s10551-009-0343-2
  • Robeco, Booz & Co. 2010. Responsible Investing: A Paradigm Shift. From Niche to Mainstream. London: Booz & Company Publication.
  • Roy, A. D. 1952. “Safety First and the Holding of Assets.” Econometrica 20 (3): 431–449. doi:10.2307/2329737 doi: 10.2307/1907413
  • Schaltegger, S., and T. Synnestvedt. 2002. “The Link Between “Green” and Economic Success. Environmental Management as the Crucial Trigger Between Environmental and Economic Performance.” Journal of Environmental Management 65 (2): 339–346. doi:10.1006/jema.2002.0555
  • Schaltegger, S., and M. Wagner, eds. 2006. Managing the Business Case for Sustainability. The Integration of Social, Environmental and Economic Performance. Sheffield: Greenleaf Publishing.
  • Schröder, M. 2004. “The Performance of Socially Responsible Investments: Investment Funds and Indices.” Financial Markets and Portfolio Management 18 (2): 122–142. doi:10.1007/s11408-004-0202-1 doi: 10.1007/s11408-004-0202-1
  • Schueth, S. 2003. “Socially Responsible Investing in the United States.” Journal of Business Ethics 43 (3): 189–194. doi:10.1023/A:1022981828869 doi: 10.1023/A:1022981828869
  • Statman, M. 2000. “Socially Responsible Mutual Funds.” Financial Analysts Journal 56 (3): 30–39. doi: 10.2469/faj.v56.n3.2358
  • Statman, M. 2005. “Normal Investors, Then and Now.” Financial Analysts Journal 61 (2): 31–37. doi: 10.2469/faj.v61.n2.2713
  • Statman, M. 2006. “Socially Responsible Indexes.” The Journal of Portfolio Management 32 (3): 100–109. doi:10.3905/jpm.2006.628411 doi: 10.3905/jpm.2006.628411
  • Statman, M. 2007. “Socially Responsible Investments.” Journal of Investment Consulting 8 (2): 17–37.
  • Steuer, R. E., Y. Qi, and M. Hirschberger. 2007. “Suitable-Portfolio Investors, Nondominated Frontier Sensitivity and the Effect of Multiple Objectives on Standard Portfolio Selection.” Annals of Operations Research 152 (1): 297–317. doi:10.1007/s10479-006-0137-1 doi: 10.1007/s10479-006-0137-1
  • Steuer, R. E., Y. Qi, and M. Hirschberger. 2008. “Portfolio Selection in the Presence of Multiple Criteria.” In Handbook of Financial Engineering, edited by C. Zopounidis, M. Doumpos, and P. M. Pardalos, 3–24. New York: Springer.
  • Surroca, J., J. A. Tribó, and S. Waddock. 2010. “Corporate Responsibility and Financial Performance: The Role of Intangible Resources.” Strategic Management Journal 31 (5): 463–490. doi:10.1002/smj.820
  • Sustainalytics. 2012. Our Story. http://www.sustainalytics.com/our-story
  • Sustainalytics GmbH. 2010. Die Nachhaltigkeitsleistungen deutscher Groszligunternehmen. Ergebnisse des vierten vergleichenden Nachhaltigkeitsratings der DAX 30 - Unternehmen 2009 [German for: Results from the fourth comparative SRI-rating of the DAX 30 companies]. Frankfiurt am Main: Sustainalytics Publication.
  • Thaler, R. H. 1993. Advances in Behavioral Finance. New York: Russell Sage Foundation.
  • Tobin, J. 1958. “Liquidity Preference as Behavior Towards Risk.” Review of Economic Studies 25 (58): 65–86. doi:10.2307/2296205 doi: 10.2307/2296205
  • Troutman, M. L. 2001. “Risk Control Techniques for Social Investing.” The Journal of Investing 10 (4): 51–57. doi:10.3905/joi.2001.319486 doi: 10.3905/joi.2001.319486
  • Uhlenbrock, B. 2009. “Financial Markets Appetite for Risk.” Deutsche Bundesbank Scientific Paper, Frankfurt am Main.
  • Vermeir, W., E. Van de Velde, and F. Corten. 2005. “Sustainable and Responsible Performance.” The Journal of Investing 14 (3): 94–100. doi:10.3905/joi.2005.580555 doi: 10.3905/joi.2005.580555
  • Wagner, M. 2003. How Does It Pay to be Green? An Analysis of the Relationship Between Environmental and Economic Performance at the Firm Level and the Influence of Corporate Environmental Strategy Choice. Marburg: Tectum.
  • Wagner, M., and S. Schaltegger. 2004. “The Influence of Corporate Environmental Strategy Choice and Environmental Performance on Competitiveness and Economic Performance. An Empirical Analysis in EU Manufacturing.” European Management Journal 22 (5): 557–572. doi: 10.1016/j.emj.2004.09.013
  • Warwick, B. 2000. Searching for Alpha. The Quest for Exceptional Investment Performance. New York: John Wiley & Sons.
  • Wheat, D. 2002. “Performance of Socially and Environmentally Screened Mutual Funds.” Working Paper of the SRI World Group, Brattleboro, VT.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.