Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market

Detalhes bibliográficos
Autor(a) principal: Azevedo,Vitor Gonçalves de
Data de Publicação: 2016
Outros Autores: Santos,André Alves Portela, Campos,Lucila Maria de Souza
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Production
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0103-65132016000300516
Resumo: 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.
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spelling Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock marketCorporate sustainabilityISEFama-French Three-factor modelCAPMAnomaliesAbstract 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.Associação Brasileira de Engenharia de Produção2016-09-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0103-65132016000300516Production v.26 n.3 2016reponame:Productioninstname:Associação Brasileira de Engenharia de Produção (ABEPRO)instacron:ABEPRO10.1590/0103-6513.201115info:eu-repo/semantics/openAccessAzevedo,Vitor Gonçalves deSantos,André Alves PortelaCampos,Lucila Maria de Souzaeng2016-08-09T00:00:00Zoai:scielo:S0103-65132016000300516Revistahttps://www.scielo.br/j/prod/https://old.scielo.br/oai/scielo-oai.php||production@editoracubo.com.br1980-54110103-6513opendoar:2016-08-09T00:00Production - Associação Brasileira de Engenharia de Produção (ABEPRO)false
dc.title.none.fl_str_mv Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market
title Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market
spellingShingle Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market
Azevedo,Vitor Gonçalves de
Corporate sustainability
ISE
Fama-French Three-factor model
CAPM
Anomalies
title_short 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_sort Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market
author Azevedo,Vitor Gonçalves de
author_facet Azevedo,Vitor Gonçalves de
Santos,André Alves Portela
Campos,Lucila Maria de Souza
author_role author
author2 Santos,André Alves Portela
Campos,Lucila Maria de Souza
author2_role author
author
dc.contributor.author.fl_str_mv Azevedo,Vitor Gonçalves de
Santos,André Alves Portela
Campos,Lucila Maria de Souza
dc.subject.por.fl_str_mv Corporate sustainability
ISE
Fama-French Three-factor model
CAPM
Anomalies
topic Corporate sustainability
ISE
Fama-French Three-factor model
CAPM
Anomalies
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.
publishDate 2016
dc.date.none.fl_str_mv 2016-09-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0103-65132016000300516
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0103-65132016000300516
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/0103-6513.201115
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Associação Brasileira de Engenharia de Produção
publisher.none.fl_str_mv Associação Brasileira de Engenharia de Produção
dc.source.none.fl_str_mv Production v.26 n.3 2016
reponame:Production
instname:Associação Brasileira de Engenharia de Produção (ABEPRO)
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instname_str Associação Brasileira de Engenharia de Produção (ABEPRO)
instacron_str ABEPRO
institution ABEPRO
reponame_str Production
collection Production
repository.name.fl_str_mv Production - Associação Brasileira de Engenharia de Produção (ABEPRO)
repository.mail.fl_str_mv ||production@editoracubo.com.br
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