Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258804 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 2 [Article No.:] 81 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-15
Publisher: 
MDPI, Basel
Abstract: 
In this paper, we examine the performance of an impact investing strategy using the most ethical companies to build an impact investing portfolio. We test the time-series and cross-sectional returns of the impact portfolio, explore the financial analyst coverage of the most ethical firms, and run regressions to analyze the valuation of the most ethical firms. Our empirical results reveal that the portfolio consisting of the most ethical firms has a higher risk-adjusted return and that the most ethical firms have lower stock valuations than comparable stocks. We attribute our findings to the incomplete information in business ethics norms.
Subjects: 
impact investing
investment performance
asset pricing
corporate social responsibility
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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