메뉴 건너뛰기




Volumn 2, Issue 3-4, 2012, Pages 338-375

The drivers of the relationship between corporate environmental performance and stock market returns

Author keywords

corporate environmental performance; multifactor model; ranking; risk; stock performance; sustainability; taste

Indexed keywords


EID: 84989798830     PISSN: 20430795     EISSN: 20430809     Source Type: Journal    
DOI: 10.1080/20430795.2012.738601     Document Type: Article
Times cited : (37)

References (68)
  • 1
    • 58249109340 scopus 로고    scopus 로고
    • Does it pay to be green? A systematic overview
    • Ambec, S., and Lanoie, P., 2008. Does it pay to be green? A systematic overview. Academy of Management Perspectives, 22: 45–62
    • (2008) Academy of Management Perspectives , vol.22 , pp. 45-62
    • Ambec, S.1    Lanoie, P.2
  • 2
    • 72249115978 scopus 로고    scopus 로고
    • The role of environmental management in consumers preferences for corporate social responsibility
    • Araña, J. E., and Léon, C., 2009. The role of environmental management in consumers preferences for corporate social responsibility. Environmental and Resource Economics, 44: 495–506
    • (2009) Environmental and Resource Economics , vol.44 , pp. 495-506
    • Araña, J.E.1    Léon, C.2
  • 3
    • 18144388600 scopus 로고    scopus 로고
    • International evidence on ethical mutual fund performance and investment style
    • Bauer, R., Koedijk, K., and Otten, R., 2005. International evidence on ethical mutual fund performance and investment style. Journal of Banking and Finance, 29: 1751–67
    • (2005) Journal of Banking and Finance , vol.29 , pp. 1751-1767
    • Bauer, R.1    Koedijk, K.2    Otten, R.3
  • 4
    • 33750522004 scopus 로고    scopus 로고
    • Corporate social performance and stock returns: UK evidence from disaggregate measures
    • Brammer, S., Brooks, C., and Pavelin, S., 2006. Corporate social performance and stock returns: UK evidence from disaggregate measures. Finance Management, 35: 97–116
    • (2006) Finance Management , vol.35 , pp. 97-116
    • Brammer, S.1    Brooks, C.2    Pavelin, S.3
  • 5
    • 0002624840 scopus 로고    scopus 로고
    • On persistence in mutual fund performance
    • Carhart, M., 1997. On persistence in mutual fund performance. Journal of Finance, 52: 57–82
    • (1997) Journal of Finance , vol.52 , pp. 57-82
    • Carhart, M.1
  • 9
    • 33644909070 scopus 로고    scopus 로고
    • Asset pricing when returns are nonnormal: Fama–French factors versus higher-order systematic comoments
    • Chung, Y. P., Johnson, H., and Schill, H. M.J., 2006. Asset pricing when returns are nonnormal: Fama–French factors versus higher-order systematic comoments. Journal of Business, 79: 923–40
    • (2006) Journal of Business , vol.79 , pp. 923-940
    • Chung, Y.P.1    Johnson, H.2    Schill, H.M.J.3
  • 10
    • 85051284389 scopus 로고    scopus 로고
    • The University of Iowa Center for International Finance and Development, July 1
    • Cox, J., and L. Glapa, 2009. Credit crisis timeline. The University of Iowa Center for International Finance and Development, July 1. http://ebook.law.uiowa.edu/ebook/sites/default/files/Financial_Crisis_Timeline.pdf
    • (2009) Credit Crisis Timeline
    • Coxglapa, J.L.1
  • 13
    • 79957587292 scopus 로고    scopus 로고
    • A tale of values-driven and profit-seeking social investors
    • Derwall, J., Koedijk, K., and ter Horst, J., 2011. A tale of values-driven and profit-seeking social investors. Journal of Banking and Finance, 35: 2137–47
    • (2011) Journal of Banking and Finance , vol.35 , pp. 2137-2147
    • Derwall, J.1    Koedijk, K.2    ter Horst, J.3
  • 14
    • 21844463321 scopus 로고
    • The stakeholder theory of the corporation: Concepts, evidence, and implications
    • Donaldson, T., and Preston, L. E., 1995. The stakeholder theory of the corporation: Concepts, evidence, and implications. Academy of Management Review, 20: 65–91
    • (1995) Academy of Management Review , vol.20 , pp. 65-91
    • Donaldson, T.1    Preston, L.E.2
  • 15
    • 79960407933 scopus 로고    scopus 로고
    • Does the market fully value intangibles? Employee satisfaction and equity prices
    • Edmans, A. D., 2011. Does the market fully value intangibles? Employee satisfaction and equity prices. Journal of Financial Economics, 101: 621–40
    • (2011) Journal of Financial Economics , vol.101 , pp. 621-640
    • Edmans, A.D.1
  • 16
    • 80054951025 scopus 로고    scopus 로고
    • accessed 18 October 2010
    • Eurosif. 2010. European SRI Study 2010. http://www.eurosif.org/research/eurosif-sri-study (accessed 18 October 2010)
    • (2010) European SRI Study 2010
  • 17
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, E. F., and French, K. R., 1992. The cross-section of expected stock returns. Journal of Finance, 47: 427–65
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.F.1    French, K.R.2
  • 18
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, E. F., and French, K. R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33: 3–56
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 19
    • 8744269283 scopus 로고    scopus 로고
    • The capital asset pricing model: Theory and evidence
    • Fama, E. F., and French, K. R., 2004. The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives, 18: 26–46
    • (2004) Journal of Economic Perspectives , vol.18 , pp. 26-46
    • Fama, E.F.1    French, K.R.2
  • 21
    • 0000928969 scopus 로고
    • Risk, return and equilibrium: Empirical tests
    • Fama, E. F., and MacBeth, J. D., 1973. Risk, return and equilibrium: Empirical tests. Journal of Political Economy, 81: 607–36
    • (1973) Journal of Political Economy , vol.81 , pp. 607-636
    • Fama, E.F.1    MacBeth, J.D.2
  • 23
    • 6044239512 scopus 로고    scopus 로고
    • The relationship between the environmental and financial performance of public utilities
    • Filbeck, G., and Gorman, R. F., 2004. The relationship between the environmental and financial performance of public utilities. Environmental and Resource Economics, 29: 137–157
    • (2004) Environmental and Resource Economics , vol.29 , pp. 137-157
    • Filbeck, G.1    Gorman, R.F.2
  • 24
    • 0000539567 scopus 로고
    • What's in a name? Reputation building and corporate strategy
    • Fombrun, C., and Shanley, M., 1990. What's in a name? Reputation building and corporate strategy. Academy of Management Journal, 33: 233–58
    • (1990) Academy of Management Journal , vol.33 , pp. 233-258
    • Fombrun, C.1    Shanley, M.2
  • 26
    • 0001788578 scopus 로고
    • The social responsibility of business is to increase its profits
    • September 13
    • Friedman, M. 1970. The social responsibility of business is to increase its profits. New York Times, September 13
    • (1970) New York Times
    • Friedman, M.1
  • 27
    • 55149118403 scopus 로고    scopus 로고
    • The stocks at stake: Return and risk in socially responsible investing
    • Galema, R., Plantinga, A., and Scholtens, B., 2008. The stocks at stake: Return and risk in socially responsible investing. Journal Bank Finance, 32: 2646–54
    • (2008) Journal Bank Finance , vol.32 , pp. 2646-2654
    • Galema, R.1    Plantinga, A.2    Scholtens, B.3
  • 28
    • 79955612436 scopus 로고    scopus 로고
    • The impact of corporate social responsibility on the cost of bank loans
    • Goss, A., and Roberts, G. S., 2010. The impact of corporate social responsibility on the cost of bank loans. Journal of Bank Finance, 35: 1794–1810
    • (2010) Journal of Bank Finance , vol.35 , pp. 1794-1810
    • Goss, A.1    Roberts, G.S.2
  • 29
    • 0002878373 scopus 로고
    • Doing well while doing good? The investment performance of socially responsible mutual funds
    • Hamilton, S., Jo, H., and Statman, M., 1993. Doing well while doing good? The investment performance of socially responsible mutual funds. Financial Analysts Journal, 49: 62–6
    • (1993) Financial Analysts Journal , vol.49 , pp. 62-66
    • Hamilton, S.1    Jo, H.2    Statman, M.3
  • 30
    • 0030478892 scopus 로고    scopus 로고
    • Does it pay to be green? An empirical examination of the relationship between emission reduction and firm performance
    • Hart, S. L., and Ahuja, G., 1996. Does it pay to be green? An empirical examination of the relationship between emission reduction and firm performance. Business Strategy and the Environment, 5: 30–7
    • (1996) Business Strategy and the Environment , vol.5 , pp. 30-37
    • Hart, S.L.1    Ahuja, G.2
  • 31
    • 23944432135 scopus 로고    scopus 로고
    • Corporate social responsibility: An economic and financial framework
    • Heal, G. M., 2005. Corporate social responsibility: An economic and financial framework. Geneva Papers on Risk and Insurance, 30: 387–409
    • (2005) Geneva Papers on Risk and Insurance , vol.30 , pp. 387-409
    • Heal, G.M.1
  • 33
    • 38248999290 scopus 로고
    • An investigation of corporate social responsibility reputation and economic performance
    • Herremans, I. M., Akothaporn, P., and McInnes, M., 1993. An investigation of corporate social responsibility reputation and economic performance. Account Organizations and Society, 18: 587–604
    • (1993) Account Organizations and Society , vol.18 , pp. 587-604
    • Herremans, I.M.1    Akothaporn, P.2    McInnes, M.3
  • 34
    • 67549131986 scopus 로고    scopus 로고
    • The price of sin: The effects of social norms on markets
    • Hong, H., and Kacperczyk, M., 2009. The price of sin: The effects of social norms on markets. Journal of Financial Economics, 93: 15–36
    • (2009) Journal of Financial Economics , vol.93 , pp. 15-36
    • Hong, H.1    Kacperczyk, M.2
  • 35
    • 0000486548 scopus 로고
    • The performance of mutual funds in the period 1945–1964
    • Jensen, M. C., 1968. The performance of mutual funds in the period 1945–1964. Journal of Finance, 23: 389–416
    • (1968) Journal of Finance , vol.23 , pp. 389-416
    • Jensen, M.C.1
  • 36
    • 0036328813 scopus 로고    scopus 로고
    • Value maximization, stakeholder theory, and the corporate objective function
    • Jensen, M. C., 2002. Value maximization, stakeholder theory, and the corporate objective function. Business Ethics Quarterly, 12: 235–56
    • (2002) Business Ethics Quarterly , vol.12 , pp. 235-256
    • Jensen, M.C.1
  • 37
    • 21844519987 scopus 로고
    • Instrumental stakeholder theory: A synthesis of ethics and economics
    • Jones, T. M., 1995. Instrumental stakeholder theory: A synthesis of ethics and economics. Academy of Management Review, 20: 404–37
    • (1995) Academy of Management Review , vol.20 , pp. 404-437
    • Jones, T.M.1
  • 38
    • 0035659111 scopus 로고    scopus 로고
    • Does it really pay to be green? An empirical study of firm environmental and financial performance
    • King, A. A., and Lenox, M. J., 2001. Does it really pay to be green? An empirical study of firm environmental and financial performance. Journal of Industrial Ecology, 5: 105–16
    • (2001) Journal of Industrial Ecology , vol.5 , pp. 105-116
    • King, A.A.1    Lenox, M.J.2
  • 39
    • 0036475749 scopus 로고    scopus 로고
    • Exploring the locus of profitable pollution reduction
    • King, A. A., and Lenox, M. J., 2002. Exploring the locus of profitable pollution reduction. Management Science, 48: 289–99
    • (2002) Management Science , vol.48 , pp. 289-299
    • King, A.A.1    Lenox, M.J.2
  • 40
    • 0030217190 scopus 로고    scopus 로고
    • The impact of environmental management on firm performance
    • Klassen, R. D., and McLaughlin, C. P., 1996. The impact of environmental management on firm performance. Management Science, 42: 1199–214
    • (1996) Management Science , vol.42 , pp. 1199-1214
    • Klassen, R.D.1    McLaughlin, C.P.2
  • 41
    • 23744477774 scopus 로고    scopus 로고
    • An analysis of the stock market impact of environmental performance information
    • Lorraine, N. H.J., Collison, D. J., and Power, D. M., 2004. An analysis of the stock market impact of environmental performance information. Account Forum, 28: 7–26
    • (2004) Account Forum , vol.28 , pp. 7-26
    • Lorraine, N.H.J.1    Collison, D.J.2    Power, D.M.3
  • 44
    • 77950968108 scopus 로고    scopus 로고
    • The greenest big companies in America
    • McGinn, D., 2009. The greenest big companies in America. Newsweek, 154: 34–54
    • (2009) Newsweek , vol.154 , pp. 34-54
    • McGinn, D.1
  • 45
    • 0035529262 scopus 로고    scopus 로고
    • Corporate social responsibility: A theory of the firm perspective
    • McWilliams, A., and Siegel, D., 2001. Corporate social responsibility: A theory of the firm perspective. Academy of Management Review, 26: 117–27
    • (2001) Academy of Management Review , vol.26 , pp. 117-127
    • McWilliams, A.1    Siegel, D.2
  • 46
    • 84977707554 scopus 로고
    • A simple model of capital market equilibrium with incomplete information
    • Merton, R. C., 1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42: 483–510
    • (1987) Journal of Finance , vol.42 , pp. 483-510
    • Merton, R.C.1
  • 47
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W. K., and West, K. D., 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55: 703–708
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 48
    • 0042090748 scopus 로고    scopus 로고
    • Corporate social and financial performance: a meta-analysis
    • Orlitzky, M., Schmidt, F. L., and Rynes, S. L., 2003. Corporate social and financial performance: a meta-analysis. Organization Studies, 24: 403–41
    • (2003) Organization Studies , vol.24 , pp. 403-441
    • Orlitzky, M.1    Schmidt, F.L.2    Rynes, S.L.3
  • 49
    • 67349199580 scopus 로고    scopus 로고
    • Equity market valuation of human capital and stock returns
    • Pantzalis, C., and Park, J. C., 2009. Equity market valuation of human capital and stock returns. Journal of Bank Finance, 33: 1610–23
    • (2009) Journal of Bank Finance , vol.33 , pp. 1610-1623
    • Pantzalis, C.1    Park, J.C.2
  • 51
    • 0000259681 scopus 로고
    • Green and competitive: Ending the stalemate
    • Porter, M. E., and van der Linde, C., 1995. Green and competitive: Ending the stalemate. Harvard Business Review, (September–October): 120–34
    • (1995) Harvard Business Review , pp. 120-134
    • Porter, M.E.1    van der Linde, C.2
  • 52
    • 44649118561 scopus 로고    scopus 로고
    • The price of ethics and stakeholder governance: The performance of socially responsible mutual funds
    • Renneboog, L., ter Horst, J., and Zhang, C., 2008. The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of Corporate Finance, 14: 302–28
    • (2008) Journal of Corporate Finance , vol.14 , pp. 302-328
    • Renneboog, L.1    ter Horst, J.2    Zhang, C.3
  • 53
    • 80051788729 scopus 로고    scopus 로고
    • Is ethical money financially smart? Nonfinancial attributes and money flows of socially responsible investment funds
    • Renneboog, L., ter Horst, J., and Zhang, C., 2011. Is ethical money financially smart? Nonfinancial attributes and money flows of socially responsible investment funds. Journal of Financial Intermediation, 20: 562–88
    • (2011) Journal of Financial Intermediation , vol.20 , pp. 562-588
    • Renneboog, L.1    ter Horst, J.2    Zhang, C.3
  • 54
    • 0031510753 scopus 로고    scopus 로고
    • A resource-based perspective on corporate environmental performance and profitability
    • Russo, M. V., and Fouts, P. A., 1997. A resource-based perspective on corporate environmental performance and profitability. Academy of Management Journal, 40: 534–59
    • (1997) Academy of Management Journal , vol.40 , pp. 534-559
    • Russo, M.V.1    Fouts, P.A.2
  • 55
    • 53649098161 scopus 로고    scopus 로고
    • A note on the interaction between corporate social responsibility and financial performance
    • Scholtens, B., 2008. A note on the interaction between corporate social responsibility and financial performance. Ecological Economics, 68: 46–55
    • (2008) Ecological Economics , vol.68 , pp. 46-55
    • Scholtens, B.1
  • 57
    • 0001783260 scopus 로고
    • On the estimation of beta-pricing models
    • Shanken, J., 1992. On the estimation of beta-pricing models. Review of Financial Studies, 5: 1–33
    • (1992) Review of Financial Studies , vol.5 , pp. 1-33
    • Shanken, J.1
  • 58
    • 84980092818 scopus 로고
    • Capital asset prices: A theory of market equilibrium under conditions of risk
    • Sharpe, W. F., 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19: 425–42
    • (1964) Journal of Finance , vol.19 , pp. 425-442
    • Sharpe, W.F.1
  • 59
    • 5044222182 scopus 로고    scopus 로고
    • The shareholders vs. stakeholders debate
    • Smith, H. J., 2003. The shareholders vs. stakeholders debate. MIT Sloan Management Review, (Summer): 85–90
    • (2003) MIT Sloan Management Review , vol.Summer , pp. 85-90
    • Smith, H.J.1
  • 62
    • 17144362260 scopus 로고    scopus 로고
    • Stakeholder theory exposed
    • Sternberg, E., 1996. Stakeholder theory exposed. Economic Affairs, 16: 36–8
    • (1996) Economic Affairs , vol.16 , pp. 36-38
    • Sternberg, E.1
  • 63
    • 33750081740 scopus 로고    scopus 로고
    • ‘It pays to be green’–A premature conclusion?
    • Telle, K., 2006. ‘It pays to be green’–A premature conclusion?. Environmental and Resource Economics, 35: 195–220
    • (2006) Environmental and Resource Economics , vol.35 , pp. 195-220
    • Telle, K.1
  • 65
    • 0000095552 scopus 로고
    • A heteroskedasticity-consistent covariance matrix estimator and a direct test for Heteroskedasticity
    • White, H., 1980. A heteroskedasticity-consistent covariance matrix estimator and a direct test for Heteroskedasticity. Econometrica, 48: 817–38
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1
  • 66
    • 0032208798 scopus 로고    scopus 로고
    • Hierarchal Bayes methods for multifactor model estimation and portfolio selection
    • Young, M. R., and Lenk, P. J., 1998. Hierarchal Bayes methods for multifactor model estimation and portfolio selection. Management Science, 44: 111–24
    • (1998) Management Science , vol.44 , pp. 111-124
    • Young, M.R.1    Lenk, P.J.2
  • 67
    • 34447516981 scopus 로고    scopus 로고
    • The effect of environmental and social performance on the stock performance of European corporations
    • Ziegler, A., Schröder, M., and Rennings, K., 2007. The effect of environmental and social performance on the stock performance of European corporations. Environmental and Resource Economics, 37: 661–80
    • (2007) Environmental and Resource Economics , vol.37 , pp. 661-680
    • Ziegler, A.1    Schröder, M.2    Rennings, K.3
  • 68
    • 84862861796 scopus 로고    scopus 로고
    • Is it beneficial to be included in a sustainability stock index? A panel data study for European firms
    • Ziegler, A., 2012. Is it beneficial to be included in a sustainability stock index? A panel data study for European firms. Environmental and Resource Economics, 52: 301–25
    • (2012) Environmental and Resource Economics , vol.52 , pp. 301-325
    • Ziegler, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.