Implementation and profitability of sustainable investment strategies: An errors‐in‐variables perspective

Abstract

Firm‐level studies of sustainable investment performance are typically limited by an errors‐in‐variables bias (i.e., a distortion of estimated regression coefficients caused by measurement error in explanatory variables). Using recent advances in statistical methodology, we present the first cross‐sectional analysis of sustainable stock selection which adequately corrects for this bias and additionally answers the question of whether betas with respect to sustainable risk factors or sustainable characteristics (i.e., environmental, social, and governance ratings) are more relevant in portfolio selection. Within the universe of S&P 500 stocks, which is highly relevant from the investor attention and liquidity perspectives, we find that, after accounting for errors‐in‐variables bias, both types of variables become insignificant. Consequently, they do not add value to investment portfolios and are not vital in models explaining stock returns. Among classic predictors with a long history of use in the investment fund industry, only the market‐to‐book ratio provides independent investment and pricing information.

The Case Experience of Integrating the SDGs into Corporate Strategies for Financial Risk Management Based on Social Responsibility (with the Example of Russian TNCs)

“…Implementing the traditional approach, business structures expect that, with the normalization of the market environment (after the crisis and after the beginning of stability), the level of their development will grow, but, in reality, this level often reduces (Auer 2021;Popescu et al 2021;Zenghelis 2021;and Zhuravlyov et al 2019). This reduction is not explained by the traditional approach-the uncertainty of the causal connections of the reduction of the level of business's development in the period of stability, despite the refusal from corporate social responsibility in the preceding crisis period, is a gap in the existing knowledge.…”

Family firm entrepreneurship and sustainability initiatives: Women as corporate change agents

“…Growing concerns about environmental, social and economic issues (Domańska et al., 2019) have prompted organisations to search for sustainable development solutions (Auer, 2021; Pelster & Schaltegger, 2022). These initiatives satisfy ‘present needs without compromising the ability of future generation to meet their own needs’ (World Commission on Environment and Development, 1987, p. 16).…”

Publishing Big Data research in Business Ethics, the Environment and Responsibility: Advice for authors

“…First, the presence of publicly available and digitized data sources can support and improve conventional research methods. Examples include environmental, social and governance (ESG) databases, allowing for more sophisticated insights into corporate non‐financial performance (see e.g., Auer, 2021; Jung & Im, 2022; Karoui & Nguyen, 2022); large‐scale press repositories such as LexisNexis and Factiva, which can support media analyses at an unprecedented scale (see e.g., Pan et al, 2022; Peña‐Martel et al, 2022); or social media platforms such as Facebook and Twitter (Gordon‐Wilson et al, 2022; Overall, 2016). Second, Big Data is associated with new methods such as bibliometric analyses (Delgado‐Alemany et al, 2022; Dreesbach‐Bundy & Scheck, 2017), computational linguistics or natural language processing (Mahmoudian et al, 2021).…”