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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

Puni tekst: engleski, pdf (1 MB) str. 423-439 preuzimanja: 53* citiraj
APA 6th Edition
Sokolovska, I. i Kešeljević, A. (2019). Does sustainability pay off? A multi-factor analysis on regional DJSI and renewable stock indices. Economic research - Ekonomska istraživanja, 32 (1), 423-439. https://doi.org/10.1080/1331677X.2018.1550002
MLA 8th Edition
Sokolovska, Iskra i Aleksandar Kešeljević. "Does sustainability pay off? A multi-factor analysis on regional DJSI and renewable stock indices." Economic research - Ekonomska istraživanja, vol. 32, br. 1, 2019, str. 423-439. https://doi.org/10.1080/1331677X.2018.1550002. Citirano 28.03.2020.
Chicago 17th Edition
Sokolovska, Iskra i Aleksandar Kešeljević. "Does sustainability pay off? A multi-factor analysis on regional DJSI and renewable stock indices." Economic research - Ekonomska istraživanja 32, br. 1 (2019): 423-439. https://doi.org/10.1080/1331677X.2018.1550002
Harvard
Sokolovska, I., i Kešeljević, A. (2019). 'Does sustainability pay off? A multi-factor analysis on regional DJSI and renewable stock indices', Economic research - Ekonomska istraživanja, 32(1), str. 423-439. https://doi.org/10.1080/1331677X.2018.1550002
Vancouver
Sokolovska I, Kešeljević A. Does sustainability pay off? A multi-factor analysis on regional DJSI and renewable stock indices. Economic research - Ekonomska istraživanja [Internet]. 2019 [pristupljeno 28.03.2020.];32(1):423-439. https://doi.org/10.1080/1331677X.2018.1550002
IEEE
I. Sokolovska i A. Kešeljević, "Does sustainability pay off? A multi-factor analysis on regional DJSI and renewable stock indices", Economic research - Ekonomska istraživanja, vol.32, br. 1, str. 423-439, 2019. [Online]. https://doi.org/10.1080/1331677X.2018.1550002

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

Posjeta: 84 *