The Eco-Efficiency Premium Puzzle

Derwall, Jeroen; Guenster, Nadja; Bauer, Rob; Koedijk, Kees

doi:10.2469/faj.v61.n2.2716

Cited by 742 publications

(356 citation statements)

References 30 publications

(17 reference statements)

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“…There are now a number of studies on SRI which have investigated the following aspects, primarily through the lens of mutual funds, but also through regional SRI indexes for not only the US, but also Europe and other major developed economies. (a) Performance (i.e., risk-return characteristics relative to conventional indexes), using mutual funds and broad market indexes [11,12, and at firm-level [3,34,[39][40][41][42][43][44][45]. These studies, however, fail to provide clear-cut empirical evidence on whether SRI does yield higher returns after adjusting for risks.…”

Section: Literature Reviewmentioning

confidence: 93%

Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations

2017

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This paper explores the potential diversification benefits of socially responsible investments for conventional stock portfolios by examining the risk spillovers and dynamic correlations between conventional and sustainability stock indexes from a number of regions. We observe significant unidirectional volatility transmissions from conventional to sustainable equities, suggesting that the criteria applied for socially responsible investments do not necessarily shield these securities from common market shocks. While significant dynamic correlations are observed between sustainable and conventional stocks, particularly in Europe, the analysis of both in-and out-of-sample dynamic portfolios suggests that supplementing conventional stock portfolios with sustainable counterparts improves the risk/return profile of stock portfolios in all regions. The findings overall suggest that sustainable investments can indeed provide diversification gains for conventional stock portfolios globally.

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Section: Literature Reviewmentioning

confidence: 93%

Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations

2017

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“…Derwall et al (2005) provide evidence of substantially higher returns from a portfolio of 'socially responsible' firms from 1995-2003, but struggle with establishing causation: it could be the case that better-performing firms subsequently polish their social and environmental credentials as absolution, rather than as a means to prosper.…”

Section: Related Literaturementioning

confidence: 99%

“…Our primary focus is on estimating the effect of discrete events on firm profits, such as announcements to join CCX and political information relevant for this market, particularly the passing 'Waxman-Markey' bill in the US House of Representatives, which arguably raised the likelihood of a mandatory cap-and-trade system being instituted in 2 E. g., Derwall et al (2005); Dowell et al (2000); Hart and Ahuja (1996); King and Lenox (2001); Russo and Fouts (1997); Yamashita et al (1999);Ziegler et al (2007).…”

Section: Introductionmentioning

confidence: 99%

Market Effects of Voluntary Climate Action by Firms: Evidence from the Chicago Climate Exchange

Gans¹,

Hintermann²

2013

Environ Resource Econ

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Why do for-profit firms take voluntary steps to improve the environment? Brand appeal to green consumers or investors, the ability to influence or avoid regulation, or the experience gained for future regulation, have all been suggested as possible reasons. The empirical evidence is decidedly mixed. This paper uses 19 years of monthly stock price returns to examine the profitability of participation in the world's largest voluntary greenhouse gas mitigation program: the Chicago Climate Exchange. After controlling for systemic market risk as well as industry-specific shocks, we find no statistically significant impact of announcing to join CCX on excess returns. However, the market appeared to be sensitive to changes in abatement costs implied by CCX membership. Most strikingly, the progress of proposed greenhouse gas legislation (the Waxman-Markey bill) had a positive impact on excess returns for CCX member firms, suggesting that the most profitable incentive for firms to join CCX is to prepare for future regulation. Our results imply that relying on voluntary approaches alone to combat climate change may not be enough. Terms of use: Documents inJEL-Code: Q530, Q540.

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“…The vast majority of US SRI funds research finds no difference in the performance of SRI and conventional funds (see Renneboog et al (2008) for a complete review). However, some studies find that social responsible investing might have better performance than 1 See, for instance, White (1995), Statman(2000), Derwall et al (2005), Benson et al (2006), Gil-Bazo et al (2010) or Derwall and Koedijk (2009). 2 See, respectively, Gregory et al (1997), Bauer et al (2007) and Fernandez and Matallin (2008). conventional funds with similar characteristics (see Kempf and Osthoff (2007) and Galema et al (2008) on US stock portfolios, or Fernandez and Matallin (2008) and GilBazo et al (2010) on Spanish and US mutual funds).…”

Section: Introductionmentioning

confidence: 99%

“…However, German green funds fared better, achieving riskadjusted returns not significantly different from the overall German stock market. In a similar attempt, Derwall et al (2005) constructed and evaluated two US equity portfolios that differed in eco-efficiency. The high-ranked portfolio provided substantially higher average returns than its low-ranked counterpart over the [1995][1996][1997][1998][1999][2000][2001][2002][2003] period.…”

Section: Introductionmentioning

confidence: 99%