Article2014

Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis

89 citations0/0 files storedApplied Financial Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Sustainable Finance and Green Bonds Financial Markets and Investment Strategies Corporate Social Responsibility Reporting

Abstract

We analyse the performance characteristics of sustainable investments over the period 2004 to 2013. Our unconditional analysis shows that the sustainable portfolios, represented by the Dow Jones Sustainability Indices for the global and three regional markets, experience lower Sharpe ratios than their corresponding conventional portfolios. The conditional analysis indicates some evidence of significant effects of the recent crisis on sustainable investment return and volatility, while the US policy uncertainty only affects returns in two regions (Asia Pacific and North America) during the crisis period. We finally find a relative decoupling of sustainable investing from the overall market system during crisis times.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 89 citations exist upstream.

References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2008Socially responsible investments: Institutional aspects, performance, and investor behavior 1993Doing Well While Doing Good? The Investment Performance of Socially Responsible Mutual Funds 2007The Effect of Socially Responsible Investing on Portfolio Performance 2013Dynamic co-movements of stock market returns, implied volatility and policy uncertainty 2013Oil shocks, policy uncertainty and stock market return 2006The Ethical Mutual Fund Performance Debate: New Evidence from Canada

Cited by

2017Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production 2021Impact of COVID-19 pandemic on the energy markets 2019U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model 2021Revisiting the sustainable versus conventional investment dilemma in COVID-19 times 2015Performance and performance persistence of socially responsible investment funds in Europe and North America

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.