Walker, Thomas J. and Lopatta, Kerstin and Kaspereit, Thomas (2014) Corporate Sustainability in Asset Pricing Models and Mutual Funds Performance Measurement. Financial Markets and Portfolio Management, 28 (4). pp. 363-407. ISSN 2373-8529

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This study explores whether corporate sustainability is a relevant factor in multi-factor asset pricing models. It contributes to finance literature on asset pricing as well as literature that examines how sustainability impacts the capital markets by constructing a new factor that captures differences in the returns of sustainable and non-sustainable firms. Specifically, it examines whether an additional sustainability factor has explanatory power in asset pricing models that include size, book-to-market equity, and momentum factors. This research has practical implications for the performance measurement of portfolios and mutual funds that are managed in accordance with sustainability criteria by disentangling general stock-picking skills from the differences in returns between sustainable and non-sustainable stocks.

Item Type: Article
Uncontrolled Keywords: Asset pricing, Corporate sustainability. Factor models, Mutual funds, Performance measurement
Divisions: School of Computing Science, Business Administration, Economics and Law > Department of Business Administration, Economics and Law
Date Deposited: 29 Jan 2015 11:54
Last Modified: 29 Jan 2015 11:54
URI: https://oops.uni-oldenburg.de/id/eprint/2169
URN: urn:nbn:de:gbv:715-oops-22503
DOI: 10.1007/s11408-014-0237-x

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