Strategic sustainability and financial performance: exploring abnormal returns

Mollet, Janick Christian and von Arx, Urs and Ilić, Dragan. (2013) Strategic sustainability and financial performance: exploring abnormal returns. Journal of Business Economics, 83 (6). pp. 577-604.

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Official URL: http://edoc.unibas.ch/49488/

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The ongoing empirical debate about whether SRI is associated, if anything, with subpar or surpassing financial performance is characterized by a somewhat indistinct focus and the infeasibility of tapping the full potential of existing models. By indistinct focus, we mean an analysis based on an aggregation of a myriad of SRI factors that potentially affect a firm’s financial performance. The inability of taking full advantage of existing models is reflected by the fact that studies with European data have not been able to comprehensively account for systematic risk tilts. This paper presents a portfolio analysis that overcomes these issues by analyzing a distinct selection of small and innovative firms. We argue that both their strategic implementation of Corporate Social Responsibility and the general growth in socially responsible investments (SRI) lend themselves to an explanation for positive abnormal returns of this portfolio. We account for the idiosyncratic investment style of SRI by introducing a comprehensive pan-European risk-adjusted portfolio analysis based on the Carhart four-factor model. A novel propensity score matching method in conjunction with the estimation of structural models completes the conventional robustness checks in the literature.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften
UniBasel Contributors:Ilić, Dragan
Item Type:Article, refereed
Article Subtype:Research Article
Note:Publication type according to Uni Basel Research Database: Journal article
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Last Modified:11 Apr 2018 09:09
Deposited On:11 Apr 2018 09:09

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