Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market
Azevedo, Vitor Gonçalves de; Santos, André Alves Portela; Campos, Lucila Maria de Souza
http://dx.doi.org/10.1590/0103-6513.201115
Production, vol.26, n3, p.516-526, 2016
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.
Keywords
Corporate sustainability, ISE, Fama-French Three-factor model, CAPM, Anomalies
References
Andrade, L. P., Bressan, A. A., Iquiapaza, R. A., & Melo Moreira, B. C. (2013). Determinantes de adesão ao índice de sustentabilidade empresarial da BM&FBOVESPA e sua relação com o valor da empresa. Revista Brasileira de Finanças, 11(2), 181-213.
Azevedo, A. L. V. D. (2006). Indicadores de sustentabilidade empresarial no Brasil: uma avaliação do relatório do CEBDS. Revista Iberoamericana de Economia Ecológica, 5, 75-93.
Bell, S. & Morse, S. (2008). Sustainability indicators: measuring the immeasurable? 2nd ed. New York: Earthscan.
Blank, F., Samanez, C., Baidya, T., & Aiube, F. (2014). CAPM condicional: betas variantes no tempo no mercado brasileiro. Revista Brasileira de Finanças, 12(2), 163-199.
Cavalcante, L. R. M. T., Bruni, A. L., & Costa, F. J. M. (2009). Sustentabilidade empresarial e valor das ações: uma análise na bolsa de valores de São Paulo. Revista de Gestão Social e Ambiental, 3(1), 70-86.
Consolandi, C., Jaiswal-Dale, A., Poggiani, E., & Vercelli, A. (2009). Global standards and ethical stock indexes: the case of the Dow Jones Sustainability Stoxx Index. Journal of Business Ethics, 87(1), 185-197. http://dx.doi.org/10.1007/s10551-008-9793-1.
Cunha, F. A. F. S., & Samanez, C. P. (2013). Performance analysis of sustainable investments in the Brazilian stock market: a study about the corporate sustainability index (ISE). Journal of Business Ethics, 117(1), 19-36. http://dx.doi.org/10.1007/s10551-012-1484-2.
Cunha, F. A. F. S., & Samanez, C. P. (2014). Análise de desempenho dos investimentos sustentáveis no mercado acionário brasileiro. Production Journal, 24(2), 420-434.
Curi, D. (2011). Gestão ambiental. São Paulo: Academia Pearson.
Dasgupta, S., Laplante, B., & Mamingi, N. (2001). Pollution and capital markets in developing countries. Journal of Environmental Economics and Management, 42(3), 310-335. http://dx.doi.org/10.1006/jeem.2000.1161.
Dyllick, T., & Hockerts, K. (2002). Beyond the business case for corporate sustainability. Business Strategy and the Environment, 11(2), 130-141. http://dx.doi.org/10.1002/bse.323.
Elkington, J. (1998). Partnerships from cannibals with forks: the triple bottom line of 21st‐century business. Environmental Quality Management, 8(1), 37-51. http://dx.doi.org/10.1002/tqem.3310080106.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. http://dx.doi.org/10.1016/0304-405X(93)90023-5.
Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The Journal of Finance, 51(1), 55-84. http://dx.doi.org/10.1111/j.1540-6261.1996.tb05202.x.
Harrington, L. W. (1992). Measuring sustainability: issues and alternatives. Journal for Farming Systems Research, 3(1), 1-20.
Isaksson, R., & Steimle, U. (2009). What does GRI: reporting tell us about corporate sustainability? The TQM Journal, 21(2), 168-181. http://dx.doi.org/10.1108/17542730910938155.
Jappur, R., Campos, L. M. S., Hoffmann, V. E., & Selig, P. M. (2008). A visão de especialistas sobre a sustentabilidade corporativa frente às diversas formações de cadeias produtivas. Revista Produção Online, 8(3), 1-24.
Knoepfel, I. (2001). Dow Jones sustainability group index: a global benchmark for corporate sustainability. Corporate Environmental Strategy, 8(1), 6-15. http://dx.doi.org/10.1016/S1066-7938(00)00089-0.
Lankoski, L. (2008). Corporate responsibility activities and economic performance: a theory of why and how they are connected. Business Strategy and the Environment, 17(8), 536-547.
Lee, K. H., & Saen, R. F. (2012). Measuring corporate sustainability management: A data envelopment analysis approach. International Journal of Production Economics, 140(1), 219-226. http://dx.doi.org/10.1016/j.ijpe.2011.08.024.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37. http://dx.doi.org/10.2307/1924119.
López, M. V., Garcia, A., & Rodriguez, L. (2007). Sustainable development and corporate performance: a study based on the Dow Jones sustainability index. Journal of Business Ethics, 75(3), 285-300. http://dx.doi.org/10.1007/s10551-006-9253-8.
Machado, M. R., Machado, M. A. V., & Corrar, L. J. (2009). Desempenho do índice de sustentabilidade empresarial (ISE) da Bolsa de Valores de São Paulo. Revista Universo Contábil, 5(2), 24-38. http://dx.doi.org/10.4270/ruc.2009211.
Marcondes, A. W., & Bacarji, C. D. (2010). ISE: sustentabilidade no mercado de capitais. São Paulo: Report.
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768-783. http://dx.doi.org/10.2307/1910098.
Orsato, R. J., Garcia, A., Mendes-Da-Silva, W., Simonetti, R., & Monzoni, M. (2015). Sustainability indexes: why join in? A study of the ‘Corporate Sustainability Index (ISE)’in Brazil. Journal of Cleaner Production, 96, 161-170. http://dx.doi.org/10.1016/j.jclepro.2014.10.071.
Pinto, L. F. (2012). Gestão-cidadã: açoẽs estratégicas para a participação social no Brasil. Rio de Janeiro: FGV Editora.
Rametsteiner, E., Pülzl, H., Alkan-Olsson, J., & Frederiksen, P. (2011). Sustainability indicator development: science or political negotiation? Ecological Indicators, 11(1), 61-70. http://dx.doi.org/10.1016/j.ecolind.2009.06.009.
Schrettle, S., Hinz, A., Scherrer-Rathje, M., & Friedli, T. (2014). Turning sustainability into action: explaining firms’ sustainability efforts and their impact on firm performance. International Journal of Production Economics, 147, 73-84. http://dx.doi.org/10.1016/j.ijpe.2013.02.030.
Searcy, C., & Elkhawas, D. (2012). Corporate sustainability ratings: an investigation into how corporations use the Dow Jones Sustainability Index. Journal of Cleaner Production, 35, 79-92. http://dx.doi.org/10.1016/j.jclepro.2012.05.022.
Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
Singh, R. K., Murty, H. R., Gupta, S. K., & Dikshit, A. K. (2009). An overview of sustainability assessment methodologies. Ecological Indicators, 9(2), 189-212. http://dx.doi.org/10.1016/j.ecolind.2008.05.011.
Trierweiller, A. C., Peixe, B. C. S., Tezza, R., Bornia, A. C., & Campos, L. M. S. (2013). Measuring environmental management disclosure in industries in Brazil with Item Response Theory. Journal of Cleaner Production, 47, 298-305. http://dx.doi.org/10.1016/j.jclepro.2012.10.025.
Vital, J. T., Cavalcanti, M. M., Moritz, G. O., & Costa, A. M. (2009). A influência da participação no Índice de Sustentabilidade Empresarial (ISE) no desempenho financeiro das empresas. Ciencias da Administraçao, 11(24), 11-40.
Xiao, Y., Faff, R., Gharghori, P., & Lee, D. (2013). An empirical study of the world price of sustainability. Journal of Business Ethics, 114(2), 297-310. http://dx.doi.org/10.1007/s10551-012-1342-2.
Azevedo, A. L. V. D. (2006). Indicadores de sustentabilidade empresarial no Brasil: uma avaliação do relatório do CEBDS. Revista Iberoamericana de Economia Ecológica, 5, 75-93.
Bell, S. & Morse, S. (2008). Sustainability indicators: measuring the immeasurable? 2nd ed. New York: Earthscan.
Blank, F., Samanez, C., Baidya, T., & Aiube, F. (2014). CAPM condicional: betas variantes no tempo no mercado brasileiro. Revista Brasileira de Finanças, 12(2), 163-199.
Cavalcante, L. R. M. T., Bruni, A. L., & Costa, F. J. M. (2009). Sustentabilidade empresarial e valor das ações: uma análise na bolsa de valores de São Paulo. Revista de Gestão Social e Ambiental, 3(1), 70-86.
Consolandi, C., Jaiswal-Dale, A., Poggiani, E., & Vercelli, A. (2009). Global standards and ethical stock indexes: the case of the Dow Jones Sustainability Stoxx Index. Journal of Business Ethics, 87(1), 185-197. http://dx.doi.org/10.1007/s10551-008-9793-1.
Cunha, F. A. F. S., & Samanez, C. P. (2013). Performance analysis of sustainable investments in the Brazilian stock market: a study about the corporate sustainability index (ISE). Journal of Business Ethics, 117(1), 19-36. http://dx.doi.org/10.1007/s10551-012-1484-2.
Cunha, F. A. F. S., & Samanez, C. P. (2014). Análise de desempenho dos investimentos sustentáveis no mercado acionário brasileiro. Production Journal, 24(2), 420-434.
Curi, D. (2011). Gestão ambiental. São Paulo: Academia Pearson.
Dasgupta, S., Laplante, B., & Mamingi, N. (2001). Pollution and capital markets in developing countries. Journal of Environmental Economics and Management, 42(3), 310-335. http://dx.doi.org/10.1006/jeem.2000.1161.
Dyllick, T., & Hockerts, K. (2002). Beyond the business case for corporate sustainability. Business Strategy and the Environment, 11(2), 130-141. http://dx.doi.org/10.1002/bse.323.
Elkington, J. (1998). Partnerships from cannibals with forks: the triple bottom line of 21st‐century business. Environmental Quality Management, 8(1), 37-51. http://dx.doi.org/10.1002/tqem.3310080106.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. http://dx.doi.org/10.1016/0304-405X(93)90023-5.
Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The Journal of Finance, 51(1), 55-84. http://dx.doi.org/10.1111/j.1540-6261.1996.tb05202.x.
Harrington, L. W. (1992). Measuring sustainability: issues and alternatives. Journal for Farming Systems Research, 3(1), 1-20.
Isaksson, R., & Steimle, U. (2009). What does GRI: reporting tell us about corporate sustainability? The TQM Journal, 21(2), 168-181. http://dx.doi.org/10.1108/17542730910938155.
Jappur, R., Campos, L. M. S., Hoffmann, V. E., & Selig, P. M. (2008). A visão de especialistas sobre a sustentabilidade corporativa frente às diversas formações de cadeias produtivas. Revista Produção Online, 8(3), 1-24.
Knoepfel, I. (2001). Dow Jones sustainability group index: a global benchmark for corporate sustainability. Corporate Environmental Strategy, 8(1), 6-15. http://dx.doi.org/10.1016/S1066-7938(00)00089-0.
Lankoski, L. (2008). Corporate responsibility activities and economic performance: a theory of why and how they are connected. Business Strategy and the Environment, 17(8), 536-547.
Lee, K. H., & Saen, R. F. (2012). Measuring corporate sustainability management: A data envelopment analysis approach. International Journal of Production Economics, 140(1), 219-226. http://dx.doi.org/10.1016/j.ijpe.2011.08.024.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37. http://dx.doi.org/10.2307/1924119.
López, M. V., Garcia, A., & Rodriguez, L. (2007). Sustainable development and corporate performance: a study based on the Dow Jones sustainability index. Journal of Business Ethics, 75(3), 285-300. http://dx.doi.org/10.1007/s10551-006-9253-8.
Machado, M. R., Machado, M. A. V., & Corrar, L. J. (2009). Desempenho do índice de sustentabilidade empresarial (ISE) da Bolsa de Valores de São Paulo. Revista Universo Contábil, 5(2), 24-38. http://dx.doi.org/10.4270/ruc.2009211.
Marcondes, A. W., & Bacarji, C. D. (2010). ISE: sustentabilidade no mercado de capitais. São Paulo: Report.
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768-783. http://dx.doi.org/10.2307/1910098.
Orsato, R. J., Garcia, A., Mendes-Da-Silva, W., Simonetti, R., & Monzoni, M. (2015). Sustainability indexes: why join in? A study of the ‘Corporate Sustainability Index (ISE)’in Brazil. Journal of Cleaner Production, 96, 161-170. http://dx.doi.org/10.1016/j.jclepro.2014.10.071.
Pinto, L. F. (2012). Gestão-cidadã: açoẽs estratégicas para a participação social no Brasil. Rio de Janeiro: FGV Editora.
Rametsteiner, E., Pülzl, H., Alkan-Olsson, J., & Frederiksen, P. (2011). Sustainability indicator development: science or political negotiation? Ecological Indicators, 11(1), 61-70. http://dx.doi.org/10.1016/j.ecolind.2009.06.009.
Schrettle, S., Hinz, A., Scherrer-Rathje, M., & Friedli, T. (2014). Turning sustainability into action: explaining firms’ sustainability efforts and their impact on firm performance. International Journal of Production Economics, 147, 73-84. http://dx.doi.org/10.1016/j.ijpe.2013.02.030.
Searcy, C., & Elkhawas, D. (2012). Corporate sustainability ratings: an investigation into how corporations use the Dow Jones Sustainability Index. Journal of Cleaner Production, 35, 79-92. http://dx.doi.org/10.1016/j.jclepro.2012.05.022.
Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
Singh, R. K., Murty, H. R., Gupta, S. K., & Dikshit, A. K. (2009). An overview of sustainability assessment methodologies. Ecological Indicators, 9(2), 189-212. http://dx.doi.org/10.1016/j.ecolind.2008.05.011.
Trierweiller, A. C., Peixe, B. C. S., Tezza, R., Bornia, A. C., & Campos, L. M. S. (2013). Measuring environmental management disclosure in industries in Brazil with Item Response Theory. Journal of Cleaner Production, 47, 298-305. http://dx.doi.org/10.1016/j.jclepro.2012.10.025.
Vital, J. T., Cavalcanti, M. M., Moritz, G. O., & Costa, A. M. (2009). A influência da participação no Índice de Sustentabilidade Empresarial (ISE) no desempenho financeiro das empresas. Ciencias da Administraçao, 11(24), 11-40.
Xiao, Y., Faff, R., Gharghori, P., & Lee, D. (2013). An empirical study of the world price of sustainability. Journal of Business Ethics, 114(2), 297-310. http://dx.doi.org/10.1007/s10551-012-1342-2.
Facebook
Google+
Twitter
LinkedIn
Mendeley
StumbleUpon
CiteULike
Reddit
Email