The Financial Reward for Environmental Performance in the Energy Sector
作者： Ozgur Arslan-Ayaydin , James Thewissen
DOI: 10.2139/SSRN.2287302
关键词: Term (time) 、 Energy (esotericism) 、 Energy sector 、 Finance 、 Position (finance) 、 Abnormal return 、 Momentum (finance) 、 Portfolio strategy 、 Economics 、 Index (economics)
摘要: Whether a firm's environmental performance influences its financial is an unsolved puzzle. In this paper, we investigate if the market rewards concern for issues over long term. We use KLD's score to construct two matched portfolios that differ in their performance. show environmentally-efficient firms energy sector outperform environmentally-inefficient period 2000-2011. A portfolio strategy with (resp. short) position environmentally efficient inefficient) generates annual abnormal return of 9.624% after correcting market, size, book-to-market and momentum risks. For do not belong sector, statistically insignificant. Nevertheless, using VIX index, does reward adoption policies periods high uncertainty.
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