An empirical study of the world price of sustainability

Xiao, Yuchao, Faff, Robert, Gharghori, Philip and Lee, Darren 2013, An empirical study of the world price of sustainability, Journal of business ethics, vol. 114, no. 2, pp. 297-310, doi: 10.1007/s10551-012-1342-2.

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Title An empirical study of the world price of sustainability
Author(s) Xiao, Yuchao
Faff, Robert
Gharghori, Philip
Lee, Darren
Journal name Journal of business ethics
Volume number 114
Issue number 2
Start page 297
End page 310
Total pages 14
Publisher Springer Netherlands
Place of publication Dordrecht, The Netherlands
Publication date 2013-05
ISSN 0167-4544
Keyword(s) sustainability
corporate social performance
global equities
world price
Fama–French model
Summary The core goal of this study is to empirically investigate whether there is a “world price” of corporate sustainability. This is assessed in the context of standard asset pricing models—in particular, by asking whether a risk premium attaches to a sustainability factor after controlling for the Fama–French factors. Both time-series and cross-sectional tests are formulated and applied. The results show that (1) global Fama–French factors have strong power to explain global equity returns and (2) sustainability investments have no significant impact on global equity returns. The absence of a significant relationship between sustainability and returns implies that large institutional investors are free to implement sustainability mandates without fear of breaching their fiduciary duties from realising negative returns due to incorporating a sustainability investment process.
Language eng
DOI 10.1007/s10551-012-1342-2
Field of Research 159999 Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2013, Springer
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Document type: Journal Article
Collections: Faculty of Business and Law
Deakin Business School
2018 ERA Submission
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