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Fossil Fuel Divestment and Portfolio Performance
16 references·16 citing·32 second hopsampled
Fossil Fuel Divestment and Portfolio Performance (2018)Fossil Fuel Divestment and Portfolio Perf…A Climate Stress-Test of the Financial System (2016)A Climate Stress-Test of the …The geographical distribution of fossil fuels unused when limiting global warming to 2 °C (2015)The geographical distribution…The price of sin: The effects of social norms on markets (2009)The price of sin: The effects…Greenhouse-gas emission targets for limiting global warming to 2 °C (2009)Greenhouse-gas emission targe…Idiosyncratic risk and the cross-section of expected stock returns (2008)Idiosyncratic risk and the cr…The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Dog That Did Not Bark: A …Idiosyncratic Risk Matters! (2003)Idiosyncratic Risk Matters!The Effect of Green Investment on Corporate Behavior (2001)The Effect of Green Investmen…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Industry costs of equity (1997)Industry costs of equityQuasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Mutual Fund Performance (1966)Mutual Fund PerformanceCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Safety First and the Holding of Assets (1952)Safety First and the Holding …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The impact of impact investing (2024)The impact of impact investingClimate transition risk, profitability and stock prices (2022)Climate transition risk, prof…Climate policy conflict in the U.S. states: a critical review and way forward (2022)Climate policy conflict in th…Climate Impact Investing (2022)Climate Impact InvestingThe Impact of Impact Investing (2021)The Impact of Impact InvestingSustainable development and financial system: Integrating ESG risks through sustainable investment strategies in a climate change context (2021)Sustainable development and f…What explains the emergence and diffusion of green bonds? (2020)What explains the emergence a…The market for socially responsible investing: a review of the developments (2020)The market for socially respo…The financial impact of fossil fuel divestment (2020)The financial impact of fossi…Climate change and fossil fuel production cuts: assessing global supply-side constraints and policy implications (2020)Climate change and fossil fue…What Drives Norm Success? Evidence from Anti–Fossil Fuel Campaigns (2019)What Drives Norm Success? Evi…The public costs of climate-induced financial instability (2019)The public costs of climate-i…Are pension funds actively decarbonizing their portfolios? (2019)Are pension funds actively de…Fossil Fuel Divestment Strategies: Financial and Carbon-Related Consequences (2018)Fossil Fuel Divestment Strate…Fossil fuel divestment and climate change: Reviewing contested arguments (2018)Fossil fuel divestment and cl…Carbon Intensity and the Cost of Equity Capital (2018)Carbon Intensity and the Cost…The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Special report on emissions scenarios (2000)Scenarios towards limiting global mean temperature increase below 1.5 °C (2018)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Do Investors Care about Carbon Risk? (2019)Sustainable investing in equilibrium (2020)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Efficient Capital Markets: II (1991)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1997Industry costs of equity5,793 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2009Greenhouse-gas emission targets for limiting global warming to 2 °C2,773 cited
  • 2009The price of sin: The effects of social norms on markets2,600 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 2015The geographical distribution of fossil fuels unused when limiting global warming to 2 °C1,793 cited
  • 2001The Effect of Green Investment on Corporate Behavior1,498 cited
  • 2007The Dog That Did Not Bark: A Defense of Return Predictability1,227 cited
  • 2016A Climate Stress-Test of the Financial System1,184 cited
  • 2003Idiosyncratic Risk Matters!1,171 cited
  • 2008Idiosyncratic risk and the cross-section of expected stock returns

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Cited by

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  • 2022Climate Impact Investing137 cited
  • 2020Climate change and fossil fuel production cuts: assessing global supply-side constraints and policy implications136 cited
  • 2018Fossil fuel divestment and climate change: Reviewing contested arguments132 cited
  • 2020The financial impact of fossil fuel divestment117 cited
  • 2020The market for socially responsible investing: a review of the developments103 cited
  • 2019Are pension funds actively decarbonizing their portfolios?94 cited
  • 2020What explains the emergence and diffusion of green bonds?93 cited
  • 2018Carbon Intensity and the Cost of Equity Capital91 cited
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