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标题：Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market
其他标题：Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market
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作者：Azevedo, Vitor Gonçalves de ; Santos, André Alves Portela ; Campos, Lucila Maria de Souza 等
期刊名称：Production
印刷版ISSN：0103-6513
出版年度：2016
卷号：26
期号：3
页码：516-526
DOI：10.1590/0103-6513.201115
出版社：Associação Brasileira de Engenharia de Produção
摘要：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.
其他摘要：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.
其他关键词：Corporate sustainability;ISE;Fama-French Three-factor model;CAPM;Anomalies