Stocks without sustainability rating: Characteristics and performance impact on socially responsible portfolios

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Details zur Publikation

Autor(en): Hübel B, Scholz H
Jahr der Veröffentlichung: 2017
Sprache: Englisch


Abstract


The implementation of socially responsible portfolios relies on firm level corporate social responsibility (CSR) ratings. As rating agencies provide CSR ratings for a limited number of stocks only, investigating the relationship of CSR and performance entails neglecting a significant part of the investment universe. This paper sheds light on the impact of the neglected non-rated stocks. We examine the characteristics and risk exposures of non-rated stocks on the German market. In addition, we use a return-based approach to evaluate the CSR of all German stocks. We find that firms without ratings have lower market capitalizations, higher book-to-market ratios and a different industry structure compared to rated stocks. Moreover, neglecting non-rated stocks has an impact on the CSR performance relationship. Negatively screened socially responsible portfolios based on rated stocks significantly underperform the market whereas portfolios based on all stocks do not significantly underperform the market. Therefore, taking into account the non-rated stocks uncovers that socially responsible investing does not involve sacrificing financial performance.



FAU-Autoren / FAU-Herausgeber

Hübel, Benjamin
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken
Scholz, Hendrik Prof. Dr.
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken


Zitierweisen

APA:
Hübel, B., & Scholz, H. (2017). Stocks without sustainability rating: Characteristics and performance impact on socially responsible portfolios.

MLA:
Hübel, Benjamin, and Hendrik Scholz. Stocks without sustainability rating: Characteristics and performance impact on socially responsible portfolios. 2017.

BibTeX: 

Zuletzt aktualisiert 2018-06-08 um 18:39