An Equation with many Variables: Unhiding the Relationship between Sustainability and Investment Performance

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An Equation with many Variables: Unhiding the Relationship between Sustainability and Investment Performance. / Peylo, Benjamin Tobias; Schaltegger, Stefan.
in: Journal of Sustainable Finance & Investment, Jahrgang 4, Nr. 2, 03.04.2014, S. 110-126.

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

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@article{96e0870fda4044c69c3d9c61d12653c5,
title = "An Equation with many Variables: Unhiding the Relationship between Sustainability and Investment Performance",
abstract = "Financial investment performance of stock portfolios is driven by many factors of influence like portfolio diversification, quality of funds management or gravitational effects of market phases. It is, therefore, quite possible that relationships between sustainability and financial performance elude measurability because they may be overshadowed and dominated by other, more powerful or temporarily more influential factors. Using a new quantitative model for portfolio optimisation that simultaneously controls for both financial and sustainability related effects, we investigate whether and how different levels of sustainability in stock portfolios influence investment return when other factors with known influence on investment performance are neutralised. The model is applied to the German Stock Market Index Deutscher Aktienindex (DAX) for the period of 2003–2012 with regard to varying market phases. The findings show a distinct yet nonlinear relationship between sustainability and investment performance that is especially strong in phases of crisis. These results may indicate a business case for socially responsible investment (SRI) that has not yet been fully capitalised with the existing SRI instruments.",
keywords = "Sustainability sciences, Management & Economics, socially responsible investment (SRI), financial performance, sustainability, socially responsible investment (SRI), portfolio management, portfolio optimisation, financial performance, sustainability",
author = "Peylo, {Benjamin Tobias} and Stefan Schaltegger",
year = "2014",
month = apr,
day = "3",
doi = "10.1080/20430795.2013.837808",
language = "English",
volume = "4",
pages = "110--126",
journal = "Journal of Sustainable Finance & Investment",
issn = "2043-0795",
publisher = "Earthscan Publications Ltd.",
number = "2",

}

RIS

TY - JOUR

T1 - An Equation with many Variables

T2 - Unhiding the Relationship between Sustainability and Investment Performance

AU - Peylo, Benjamin Tobias

AU - Schaltegger, Stefan

PY - 2014/4/3

Y1 - 2014/4/3

N2 - Financial investment performance of stock portfolios is driven by many factors of influence like portfolio diversification, quality of funds management or gravitational effects of market phases. It is, therefore, quite possible that relationships between sustainability and financial performance elude measurability because they may be overshadowed and dominated by other, more powerful or temporarily more influential factors. Using a new quantitative model for portfolio optimisation that simultaneously controls for both financial and sustainability related effects, we investigate whether and how different levels of sustainability in stock portfolios influence investment return when other factors with known influence on investment performance are neutralised. The model is applied to the German Stock Market Index Deutscher Aktienindex (DAX) for the period of 2003–2012 with regard to varying market phases. The findings show a distinct yet nonlinear relationship between sustainability and investment performance that is especially strong in phases of crisis. These results may indicate a business case for socially responsible investment (SRI) that has not yet been fully capitalised with the existing SRI instruments.

AB - Financial investment performance of stock portfolios is driven by many factors of influence like portfolio diversification, quality of funds management or gravitational effects of market phases. It is, therefore, quite possible that relationships between sustainability and financial performance elude measurability because they may be overshadowed and dominated by other, more powerful or temporarily more influential factors. Using a new quantitative model for portfolio optimisation that simultaneously controls for both financial and sustainability related effects, we investigate whether and how different levels of sustainability in stock portfolios influence investment return when other factors with known influence on investment performance are neutralised. The model is applied to the German Stock Market Index Deutscher Aktienindex (DAX) for the period of 2003–2012 with regard to varying market phases. The findings show a distinct yet nonlinear relationship between sustainability and investment performance that is especially strong in phases of crisis. These results may indicate a business case for socially responsible investment (SRI) that has not yet been fully capitalised with the existing SRI instruments.

KW - Sustainability sciences, Management & Economics

KW - socially responsible investment (SRI)

KW - financial performance

KW - sustainability

KW - socially responsible investment (SRI)

KW - portfolio management

KW - portfolio optimisation

KW - financial performance

KW - sustainability

UR - http://www.scopus.com/inward/record.url?scp=84915828765&partnerID=8YFLogxK

U2 - 10.1080/20430795.2013.837808

DO - 10.1080/20430795.2013.837808

M3 - Journal articles

VL - 4

SP - 110

EP - 126

JO - Journal of Sustainable Finance & Investment

JF - Journal of Sustainable Finance & Investment

SN - 2043-0795

IS - 2

ER -

DOI