The Relationship Between Environmental Performance and Shareholder Value

The Relationship Between Environmental Performance and Shareholder Value

Client/Allowance

Institut für Ökologie und Unternehmensführung (Unterauftrag zum BMBF-Projektantrag Umwelttransparenz für Finanzmärkte der European Business School e.v. ebs)

Period: 01.11.2000 – 31.08.2003

The aim the project was to analyse the relationships between shareholder performance and environmental performance. In the first part we used firm-level data (stock price, sustainability rating, ...) and estimate a Fama-French three factor model to explain the cross section of average stock returns. In addition to the Fama-French factors (book to market-portfolio, market cap. portfolio) we also include a sustainability rating of the Bank Sarasin. In the second part we analysed the performance of US, German and Swiss environmental and sustainability investment funds as well as special environmental and sustainability stock market indices.

Unit
Pensions and Sustainable Financial Markets Environmental and Climate Economics

Project members

Klaus Rennings

Klaus Rennings

Project Coordinator
Acting Head

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Andreas Ziegler

Andreas Ziegler

Research Associate

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Michael Schröder

Michael Schröder

Senior Researcher

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Client/Allowance
Institut für Ökologie und Unternehmensführung (Unterauftrag zum BMBF-Projektantrag Umwelttransparenz für Finanzmärkte der European Business School e.v. ebs), Oestrich-Winkel, DE
Cooperation partner
Bank Sarasin, Basel, CH // Öko-Institut, Darmstadt // Institut für Ökologie und Unternehmensführung an der European Business School, Oestrich-Winkel, DE

Selected Publications

The Effect of Environmental and Social Performance on the Stock Performance of European Corporations

Ziegler, Andreas, Michael Schröder and Klaus Rennings (2007), The Effect of Environmental and Social Performance on the Stock Performance of European Corporations, Environmental and Resource Economics 37 (4) , 661-680

Is there a difference? The performance characteristics of SRI equity indices

Schröder, Michael (2007), Is there a difference? The performance characteristics of SRI equity indices, Journal of Business Finance and Accounting 34 (1) & (2) , 331-348

The Performance of Socially Responsible Investments: Investment Funds and Indices

Schröder, Michael (2004), The Performance of Socially Responsible Investments: Investment Funds and Indices, Financial Markets and Portfolio Management 18, No. 2 , 122-142

The Economic Performance of European Stock Corporations. Does Sustainability Matter?

Rennings, Klaus, Michael Schröder and Andreas Ziegler (2003), The Economic Performance of European Stock Corporations. Does Sustainability Matter?, Greener Management International 44 , 33-43

Contact

Research Associate
Prof. Dr. Andreas Ziegler
Phone +49 (0)621 1235-210
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Senior Researcher
Dr. Michael Schröder
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