Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market
Abstract The paper investigates the impact of corporate sustainability on asset prices. For that purpose, we develop a novel corporate sustainability factor and test the extent to which this factor is priced in an augmented four-factor version of the traditional Fama & French (1993) asset pricin...
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| Format: | Article |
| Language: | English |
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Associação Brasileira de Engenharia de Produção (ABEPRO)
2016-01-01
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| Series: | Production |
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| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-65132016005005101&lng=en&tlng=en |
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| _version_ | 1849695130074742784 |
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| author | Vitor Gonçalves de Azevedo André Alves Portela Santos Lucila Maria de Souza Campos |
| author_facet | Vitor Gonçalves de Azevedo André Alves Portela Santos Lucila Maria de Souza Campos |
| author_sort | Vitor Gonçalves de Azevedo |
| collection | DOAJ |
| description | Abstract The paper investigates the impact of corporate sustainability on asset prices. For that purpose, we develop a novel corporate sustainability factor and test the extent to which this factor is priced in an augmented four-factor version of the traditional Fama & French (1993) asset pricing model. The corporate sustainability factor is based on a zero-investment portfolio which is long in stocks with high sustainability and short in stocks with low sustainability. We use data on the Brazilian stock market to estimate alternative model specifications with different combinations of four explanatory variables: the corporate sustainability premium, the market risk factor premium, the size factor premium and the book-to-market factor premium. Our results indicate that corporate sustainability is priced and helps to explain the variability in the cross-section of expected stock returns. |
| format | Article |
| id | doaj-art-91c2b89e7833412ea963456ed1d1adf0 |
| institution | DOAJ |
| issn | 1980-5411 |
| language | English |
| publishDate | 2016-01-01 |
| publisher | Associação Brasileira de Engenharia de Produção (ABEPRO) |
| record_format | Article |
| series | Production |
| spelling | doaj-art-91c2b89e7833412ea963456ed1d1adf02025-08-20T03:19:52ZengAssociação Brasileira de Engenharia de Produção (ABEPRO)Production1980-54112016-01-01010.1590/0103-6513.201115S0103-65132016005005101Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock marketVitor Gonçalves de AzevedoAndré Alves Portela SantosLucila Maria de Souza CamposAbstract The paper investigates the impact of corporate sustainability on asset prices. For that purpose, we develop a novel corporate sustainability factor and test the extent to which this factor is priced in an augmented four-factor version of the traditional Fama & French (1993) asset pricing model. The corporate sustainability factor is based on a zero-investment portfolio which is long in stocks with high sustainability and short in stocks with low sustainability. We use data on the Brazilian stock market to estimate alternative model specifications with different combinations of four explanatory variables: the corporate sustainability premium, the market risk factor premium, the size factor premium and the book-to-market factor premium. Our results indicate that corporate sustainability is priced and helps to explain the variability in the cross-section of expected stock returns.http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-65132016005005101&lng=en&tlng=enCorporate sustainabilityISEFama-French Three-factor modelCAPMAnomalies |
| spellingShingle | Vitor Gonçalves de Azevedo André Alves Portela Santos Lucila Maria de Souza Campos Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market Production Corporate sustainability ISE Fama-French Three-factor model CAPM Anomalies |
| title | Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market |
| title_full | Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market |
| title_fullStr | Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market |
| title_full_unstemmed | Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market |
| title_short | Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market |
| title_sort | corporate sustainability and asset pricing models empirical evidence for the brazilian stock market |
| topic | Corporate sustainability ISE Fama-French Three-factor model CAPM Anomalies |
| url | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-65132016005005101&lng=en&tlng=en |
| work_keys_str_mv | AT vitorgoncalvesdeazevedo corporatesustainabilityandassetpricingmodelsempiricalevidenceforthebrazilianstockmarket AT andrealvesportelasantos corporatesustainabilityandassetpricingmodelsempiricalevidenceforthebrazilianstockmarket AT lucilamariadesouzacampos corporatesustainabilityandassetpricingmodelsempiricalevidenceforthebrazilianstockmarket |