Screening

Value enhancing or diminishing

Bibliographic Data

ID21259705
AuthorsYann Ferrat (0000-0002-5923-6144, Centre d'Etudes et de Recherches Appliquées à la Gestion, corresponding author), Frédéric Daty (OFI Asset Management Paris France), Radu Burlacu (0000-0003-3509-381X, Centre d'Etudes et de Recherches Appliquées à la Gestion)
Year2023
Volume32
Issue1
Pages358-370
Publication date2023-01-01
Open AccessYes
TypeARTICLE
VenueBusiness Ethics, the Environment & Responsibility (JOURNAL)
Journal identifiersISSN: 2694-6416 • E-ISSN: 2694-6424
PublisherWiley (PUBLISHER • GB)
DOI10.1111/beer.12453
OpenAlexW4283642339
LanguageEN
Citations received1
References cited42

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

Actuarial science · Business · Econometrics · Economics · Financial economics · Statistics · Systematic risk · Corporate Finance and Governance · Corporate Social Responsibility Reporting · Financial Markets and Investment Strategies · Mathematics

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