.png){kind=icon}
返回
Screening: Value enhancing or diminishing?
.png){kind=icon}
PRE
AI
DOI：10.1111/beer.12453.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
Using an international sample of environmental and social firm-level ratings between 2007 and 2019, we form synthetic overlapping region-based equity portfolios to examine the impact of screening stringency on abnormal returns and specific risk. While previous literature analyzes this relationship in a bidimensional setting, inferences made in this study are additionally robust to regional levels of market efficiency. Our results suggest that (1) screening stringency displays an inverted curvilinear relationship with risk-adjusted returns and (2) the impact on specific risk is strictly increasing. Thus, portfolios that employ marginal and substantial screening incur the cost of responsible investing. However, moderate screening has the benefit of increasing performance without the burden of financing the least responsible corporations.
Keyword:
ethical investors
international equity markets
market efficiency
screening
socially responsible investments (SRI)
期刊
B
IF:
4.2
论文数:
549
被引数:
1.3K
机构
引用论文
Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk.png)
JOURNAL OF FINANCE
OAAI
JOURNAL OF FINANCEIF9.5
OAAI分享收藏Do ratings of firms converge? Implications for managers, investors and strategy researchers公司评级是否趋同？对经理、投资者和战略研究人员的影响
PREAI
分享收藏Role of Country- and Firm-Level Determinants in Environmental, Social, and Governance Disclosure
PREAI
分享收藏
查看更多内容