Lee (2013)

Lee, Darren. “Do high and low‐ranked sustainability stocks perform differently?” International Journal of Accounting & Information Management, May 2013.

Lee, Darren. “Do high and low‐ranked sustainability stocks perform differently?” International Journal of Accounting & Information Management, May 2013.

The purpose of this paper is to examine whether portfolios comprising high-ranked corporate social performance (CSP) firms out/underperform portfolios comprised of low-ranked CSP firms. The authors employed a US sample covering the period 1998-2007…. The results are consistent with the "no-linkage" hypothesis, which argues that no significant difference in the risk-adjusted performance is expected between high- and low-ranked CSP-formed portfolios. Furthermore, little evidence was found that high- or low-ranked CSP-formed portfolios, irrespective of the portfolio formation type, systematically differ with regard to performance, size, book-to-market or momentum factors…

LK comment: Uses ratings from Sustainability Asset Management Group.

Link: https://researchdirect.westernsydney.edu.au/islandora/object/uws:30717