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dc.contributor.authorXiao, Yuchao
dc.contributor.authorFaff, Robert W.
dc.contributor.authorGharghori, Philip
dc.contributor.authorLee, Darren D.
dc.date.accessioned2017-10-09T12:31:03Z
dc.date.available2017-10-09T12:31:03Z
dc.date.issued2013
dc.identifier.issn0167-4544
dc.identifier.doi10.1007/s10551-012-1342-2
dc.identifier.urihttp://hdl.handle.net/10072/345008
dc.description.abstractThe 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.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherSpringer
dc.relation.ispartofpagefrom297
dc.relation.ispartofpageto310
dc.relation.ispartofissue2
dc.relation.ispartofjournalJournal of Business Ethics
dc.relation.ispartofvolume114
dc.subject.fieldofresearchBanking, Finance and Investment not elsewhere classified
dc.subject.fieldofresearchBusiness and Management
dc.subject.fieldofresearchMarketing
dc.subject.fieldofresearchApplied Ethics
dc.subject.fieldofresearchcode150299
dc.subject.fieldofresearchcode1503
dc.subject.fieldofresearchcode1505
dc.subject.fieldofresearchcode2201
dc.titleAn empirical study of the world price of sustainability
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.hasfulltextNo Full Text
gro.griffith.authorLee, Darren


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