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Persistence in ESG and conventional stock market indices
16 references·2 citing·43 second hop
Persistence in ESG and conventional stock market indices (2022)Persistence in ESG and conventional stock…The static and dynamic connectedness of environmental, social, and governance investments: International evidence (2020)The static and dynamic connec…Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets (2019)Can sustainable investments o…Can Sustainable Investment Yield Better Financial Returns: A Comparative Study of ESG Indices and MSCI Indices (2019)Can Sustainable Investment Yi…Does corporate social responsibility affect mutual fund performance and flows? (2016)Does corporate social respons…Socially responsible funds and market crises (2014)Socially responsible funds an…Sustainable Development and Corporate Performance: A Study Based on the Dow Jones Sustainability Index (2007)Sustainable Development and C…Does sustainability reporting improve corporate behaviour?: Wrong question? Right time? (2006)Does sustainability reporting…The performance of socially responsible investments: Investment funds and indices (2004)The performance of socially r…Socially Responsible Mutual Funds (corrected) (2000)Socially Responsible Mutual F…Testing of unit root and other nonstationary hypotheses in macroeconomic time series (1997)Testing of unit root and othe…Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (1994)Fractal Market Analysis: Appl…Efficient Tests of Nonstationary Hypotheses (1994)Efficient Tests of Nonstation…Chaos and order in the capital markets: a new view of cycles, prices, and market volatility (1992)Chaos and order in the capita…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Efficient Parameter Estimation for Self-Similar Processes (1989)Efficient Parameter Estimatio…Long-term dependence in common stock returns (1977)Long-term dependence in commo…ESG disclosure and firm performance in global south economy: Does industry profile and board independence moderate the relationship (2025)ESG disclosure and firm perfo…Environmental, social and governance controversies: the role of European bank boards (2023)Environmental, social and gov…The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock market prices and long-range dependence (1999)The Long Memory of the Efficient Market (2004)Some stylized facts of the Bitcoin market (2017)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)5 Stochastic volatility (1996)Dealing with Structural Breaks (2005)Unit Roots and Cointegration in Panels (2008)Testing for a Unit Root in Time Series Regression (1988)Long Memory in Stock-Market Trading Volume (2000)Fractional integration and structural breaks at unknown periods of time (2007)EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2009)Modern Portfolio Theory and Investment Analysis. (1982)Doing Well While Doing Good? The Investment Performance of Socially Responsible Mutual Funds (1993)The importance of nongovernmental organizations (NGOs) in global governance and value creation: an international business research agenda (2004)The determinants of corporate sustainability performance (2009)THE CORPORATE SOCIAL PERFORMANCE-FINANCIAL PERFORMANCE LINK (1997)Corporate Social and Financial Performance: A Meta-Analysis (2003)The Social Responsibility of Business Is to Increase Its Profits (2007)Sustainability Practices and Corporate Financial Performance: A Study Based on the Top Global Corporations (2011)Hidden Connections: The Link Between Board Gender Diversity and Corporate Social Performance (2012)Managing Corporate Sustainability and CSR: A Conceptual Framework Combining Values, Strategies and Instruments Contributing to Sustainable Development (2013)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Common risk factors in the returns on stocks and bonds (1993)A systematic literature review of socially responsible investment and environmental social governance metrics (2019)Inside the ESG ratings: (Dis)agreement and performance (2021)ESG disclosure and Firm performance: A bibliometric and meta analysis (2022)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Behavioral Finance and Its Implications for Stock-Price Volatility (1998)On Hurst exponent estimation under heavy-tailed distributions (2010)On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic (2020)Stock market prediction with multiple classifiers (2006)Some comments on Hurst exponent and the long memory processes on capital markets (2008)The detection and estimation of long memory in stochastic volatility (1998)Estimation and interpretation of 1/fα noise in human cognition (2004)Persistence in the cryptocurrency market (2018)
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References

  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics983 cited
  • 2007Sustainable Development and Corporate Performance: A Study Based on the Dow Jones Sustainability Index951 cited
  • 1994Efficient Tests of Nonstationary Hypotheses863 cited
  • 2000Socially Responsible Mutual Funds (corrected)714 cited
  • 1989Efficient Parameter Estimation for Self-Similar Processes692 cited
  • 2014Socially responsible funds and market crises647 cited
  • 1997Testing of unit root and other nonstationary hypotheses in macroeconomic time series521 cited
  • 1977Long-term dependence in common stock returns478 cited
  • 1992Chaos and order in the capital markets: a new view of cycles, prices, and market volatility423 cited
  • 2016Does corporate social responsibility affect mutual fund performance and flows?278 cited
  • 2020The static and dynamic connectedness of environmental, social, and governance investments: International evidence228 cited
  • 2004The performance of socially responsible investments: Investment funds and indices216 cited
  • 2019Can Sustainable Investment Yield Better Financial Returns: A Comparative Study of ESG Indices and MSCI Indices184 cited

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2019
Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets
184 cited
  • 2006Does sustainability reporting improve corporate behaviour?: Wrong question? Right time?183 cited
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    • 2023Environmental, social and governance controversies: the role of European bank boards46 cited
    • 2025ESG disclosure and firm performance in global south economy: Does industry profile and board independence moderate the relationship35 cited