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The effect of environmental and social performance on the stock performance of european corporations

机译：环境和社会绩效对欧洲公司股票绩效的影响

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摘要

This paper examines the effect of sustainability performance of European corporations on their stock performance, measured as the average monthly stock return from 1996 to 2001. The econometric analysis is based on common empirical asset pricing models, particularly on the multifactor model according to Fama and French (1993, Journal of Financial Economics, 33:3-56). The consideration of sustainability performance is two-fold: The average sustainability performance of the industry in which a corporation operates and the relative sustainability performance of a corporation within a given industry. The main result is that the average environmental performance of the industry has a significantly positive influence on the stock performance. In contrast, the average social performance of the industry has a significantly negative influence. The variables of the relative environmental or social performance of a corporation within a given industry have no significant effect on the stock performance. As a by-product, the econometric analysis implies that some results of Fama and French (1993, 1996, The Journal of Finance, LI (1):55-84) regarding the risk factors of the multifactor model need not hold true for different observation periods, for different stock markets, and for the use of single stocks (instead of portfolios).
机译：本文研究了欧洲公司的可持续发展绩效对其股票绩效的影响，以1996年至2001年的平均月度股票收益率来衡量。计量经济学分析基于常见的经验资产定价模型，尤其是根据Fama和French的多因素模型。 （1993，Journal of Financial Economics，33：3-56）。可持续性绩效的考虑有两个方面：公司经营所在行业的平均可持续性绩效和给定行业内公司的相对可持续性绩效。主要结果是该行业的平均环境绩效对库存绩效具有显着的积极影响。相反，该行业的平均社会绩效具有显着的负面影响。给定行业中公司的相对环境或社会绩效的变量对股票绩效没有重大影响。作为副产品，计量经济学分析表明，Fama和French（1993，1996，The Journal of Finance，LI（1）：55-84）关于多因素模型风险因素的某些结果不必适用于不同的模型。不同股票市场的观察期，以及使用单个股票（而不是投资组合）。

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