文章基本信息

标题：Responsible investment in Germany,Austria,and Switzerland
本地全文：下载
作者：Garikai Makuyana ; Nicholas Оdhiambo
期刊名称：Problems and Perspectives in Management
印刷版ISSN：1727-7051
电子版ISSN：1810-5467
出版年度：2014
卷号：12
期号：1
页码：209-217
语种：English
出版社：LLC "CPC "Business Perspectives"
摘要：Sustainable and Responsible Investments (SRI) are booming in the US and Europe.In German-speaking countries,Switzerland is a leading force for SRI with an overall 2010 market volume of about US$45 billion,Germany’s SRI market covers middle ground with US$21 billion,while Austria’s is relatively small with US$3 billion.In this paper,we give a timely review on German-speaking countries’ attributes,responsible investment,and its legislation,whilst analyzing the financial performance and characteristics of socially responsible investments in the respective country’s stock markets.We focus on passive equity investments to obtain a most undistorted view on the performance and style of SRI strategies.The paper investigates two socially responsible investment strategies which are present in German-speaking countries:SRI in general and green investing in particular.First,both strategies do not have a performance which is different from conventional benchmarks controlling for well known characteristics.This inference is robust to five alternative asset pricing models using unconditional and conditional calendar-time factor regressions.Second,both socially responsible investment strategies have a higher systematic risk than their benchmark.Third,characteristics even beyond a size tilt are important in explaining responsible investment indices’ performance attribution like a momentum or an investment anomaly (both with negative coefficients).
关键词：Sustainable and Responsible Investments (SRI) are booming in the US and Europe.In German-speaking countries,Switzerland is a leading force for SRI with an overall 2010 market volume of about US$45 billion,Germany’s SRI market covers middle ground with US$21 billion,while Austria’s is relatively small with US$3 billion.In this paper,we give a timely review on German-speaking countries’ attributes,responsible investment,and its legislation,whilst analyzing the financial performance and characteristics of socially responsible investments in the respective country’s stock markets.We focus on passive equity investments to obtain a most undistorted view on the performance and style of SRI strategies.The paper investigates two socially responsible investment strategies which are present in German-speaking countries:SRI in general and green investing in particular.First,both strategies do not have a performance which is different from conventional benchmarks controlling for well known characteristics.This inference is robust to five alternative asset pricing models using unconditional and conditional calendar-time factor regressions.Second,both socially responsible investment strategies have a higher systematic risk than their benchmark.Third,characteristics even beyond a size tilt are important in explaining responsible investment indices’ performance attribution like a momentum or an investment anomaly (both with negative coefficients).