Izvorni znanstveni članak

https://doi.org/10.1080/1331677X.2018.1550002

Does sustainability pay off? A multi-factor analysis on regional DJSI and renewable stock indices

Iskra Sokolovska ; Faculty of Economics, University of Ljubljana, Ljubljana, Slovenia
Aleksandar Kešeljević ; Faculty of Economics, University of Ljubljana, Ljubljana, Slovenia

Sažetak

The private sector arguably plays a greater role in sustainability transitions through private investment. The authors apply the four- and five-factor Fama-French models to the Dow Jones Sustainability Index (DJSI) and a range of renewable energy indices to evaluate the financial attractiveness of sustainability in general, relative to alternative investments. They find both overperformance and underperformance in the regional DJSIs over the period 2006–2016. In contrast, renewable energy indices have high betas and negative alphas, which makes them financially unattractive. These results imply the need for public support in sustainability transitions, as high risk and low return deter private investment.

Ključne riječi

sustainability; finance; socially responsible investment; Fama-French

Hrčak ID:

228580

URI

https://hrcak.srce.hr/228580

Datum izdavanja:

22.1.2019.

Posjeta: 1.596 *