Nothing Special   »   [go: up one dir, main page]
create a website
The Price of Taste for Socially Responsible Investment. (2017). Ciciretti, Rocco ; Dam, Lammertjan ; Dalo, Ambrogio.
In: CEIS Research Paper.
RePEc:rtv:ceisrp:413.

Full description at Econpapers || Download paper

Cited: 7

Citations received by this document

Cites: 38

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Environmental, social, and governance premium in Chinese stock markets. (2023). Sun, Yanfei ; Ni, Yinan.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:55:y:2023:i:c:s1044028323000066.

    Full description at Econpapers || Download paper

  2. Mitigating Contagion Risk by ESG Investing. (2022). nicolosi, marco ; Ciciretti, Rocco ; Cerqueti, Roy ; Dalo, Ambrogio.
    In: Sustainability.
    RePEc:gam:jsusta:v:14:y:2022:i:7:p:3805-:d:777967.

    Full description at Econpapers || Download paper

  3. ESG as a Booster for Logistics Stock Returns—Evidence from the US Stock Market. (2022). Kudryavtseva, Tatiana ; Rodionova, Maria ; Skhvediani, Angi.
    In: Sustainability.
    RePEc:gam:jsusta:v:14:y:2022:i:19:p:12356-:d:928275.

    Full description at Econpapers || Download paper

  4. ESG investing: A chance to reduce systemic risk. (2021). Nicolosi, Marco ; Dalo, Ambrogio ; Ciciretti, Rocco ; Cerqueti, Roy.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000474.

    Full description at Econpapers || Download paper

  5. Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx50. (2020). Leo, Sabrina ; Mango, Fabio Massimo ; la Torre, Mario ; Cafaro, Arturo.
    In: Sustainability.
    RePEc:gam:jsusta:v:12:y:2020:i:16:p:6387-:d:396179.

    Full description at Econpapers || Download paper

  6. Fishing the Corporate Social Responsibility risk factors. (2018). Ciciretti, Rocco ; Becchetti, Leonardo ; Dalo, Ambrogio.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:37:y:2018:i:c:p:25-48.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Albuquerque R., Durnev A., and Koskinen Y. Corporate social responsibility and asset pricing in industry equilibrium. SSRN Working Paper 1961971, 2015.
    Paper not yet in RePEc: Add citation now

  2. Ang A., Hodrick R., Xing Y., and Zhang X. High idiosyncratic volatility and low returns: International and further us evidence. Journal of Financial Economics, 91(1):1–23, 2009.

  3. Ang A., Hodrick R., Xing Y., and Zhang X. The cross-section of volatility and expected returns. The Journal of Finance, 61(1):259–299, 2006.

  4. Bali T. G. and Cakici N. Idiosyncratic volatility and the cross section of expected returns. Journal of Financial and Quantitative Analysis, 43(1):29–58, 2008.

  5. Bauer R., Derwall J., and Otten R. The ethical mutual fund performance debate: New evidence from canada. Journal of Business Ethics, 70(2):111–124, 2007.

  6. Bauer R., Derwall J., Guenster N., and Koedijk K. The eco-efficiency premium puzzle. Financial Analysts Journal, 61(2):51–63, 2005a.
    Paper not yet in RePEc: Add citation now
  7. Bauer R., Koedijk K., and Otten R. International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance, 29(7):1751–1767, 2005b.
    Paper not yet in RePEc: Add citation now

  8. Bauer R., Otten R., and Rad A. Ethical investing in australia: Is there a financial penalty? PacificBasin Finance Journal, 14(1):33–48, 2006.

  9. Becchetti L., Ciciretti R., and Dalò A. Fishing the corporate social responsibility risk factors. CEIS Research Paper 368, 2016. Black F., Jensen M. C., and Scholes M. S. The capital asset pricing model: Some empirical tests.

  10. Blitz D. and Vliet P . V . The volatility effect: Lower risk without lower return. Journal of Portfolio Management, 34(1):102–113, 2007.

  11. Carhart M. M. On persistence in mutual fund performance. Journal of Finance, 52(1):57–82, 1997.

  12. de Haan M., Dam L., and Scholtens B. The drivers of the relationship between corporate environmental performance and stock market returns. Journal of Sustainable Finance & Investment, 2 (3-4):338–375, 2012. Derwall J., Koedijk K., and Horst J. T. A tale of values-driven and profit-seeking social investor.

  13. Diouf D., Hebb T., and Touré E. Exploring factors that influence social retail investors’ decisions: evidence from desjardins fund. Journal of Business Ethics, 134(1):45–67, 2016.

  14. Fama E. and French K. R. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1):3–53, 1993.

  15. Fama E. and French K. R. Disagreement, tastes, and asset prices. Journal of Financial Economics, 83 (3):667–689, 2007.

  16. Fama E. and French K. R. International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3):441–463, 2017.

  17. Fama E. and French K. R. Multifactor explanations of asset pricing anomalies. Journal of Finance, 51(1):55–84, 1996.

  18. Fama E. and French K. R. Size, value, and momentum in international stock returns. Journal of Financial Economics, 105(3):457–472, 2012.

  19. Fama E. F. and MacBeth J. D. Risk, return, and equilibrium: Empirical tests. The Journal of Political Economy, 81(3):607–636, 1973.

  20. Freeman R. E., editor. Strategic Management: A stakeholder approach. Pitman., 1984.
    Paper not yet in RePEc: Add citation now

  21. Fu F. Idiosyncratic risk and the cross-section of stock returns. Journal of Financial Economics, 91(1): 24–37, 2009.

  22. Galema R., Plantinga A., and Scholtens B. The stocks at stake: Return and risk in socially responsible investment. Journal of Banking & Finance, 32(12):2646–2654, 2008.

  23. Glushkov D. and Statman M. The wages of social responsibility. Financial Analysts Journal, 65(4): 33–46, 2009.
    Paper not yet in RePEc: Add citation now

  24. Heinkel R., Kraus A., and Zechner J. The effect of green investment on corporate behavior. Journal of financial and quantitative analysis, 36(4):431–449, 2001.

  25. Hong H. and Kacperczyk M. The price of sin: The effects of social norms on markets. Journal of Financial Economics, 93(1):15–36, 2009.

  26. Humphrey J. E., Darren D. L., and S. Y. Does it cost to be sustainable? Journal of Corporate Finance, 18(3):626–639, 2012.

  27. Jegadeesh N. and Titman S. Returns to buying winners and selling losers implications for stock market efficiency. The Journal of Finance, 48(1):61–95, 1993.

  28. Kempf A. and Osthoff P . The effect of socially responsible investing on portfolio performance. European Financial Management, 13(5):908–922, 2007.

  29. Lintner J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(3):13–37, 1965.
    Paper not yet in RePEc: Add citation now

  30. Merton R. C. A simple model of capital market equilibrium with incomplete information. The Journal of Finance, 42(3):483–510, 1987.

  31. Mossin J. Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 34(4):768–783, 1966.
    Paper not yet in RePEc: Add citation now

  32. Renneboog L., Horst J. T., and Zhang C. The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of Corporate Finance, 14(3):302–322, 2008.

  33. Scholtens B. and Zhou Y. Stakeholder relations and financial performance. Sustainable Development, 16(3):213–232, 2008.

  34. Sharpe W. F. Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3):425–442, 1964.

  35. Studies in the Theory of Capital Markets, 1972.
    Paper not yet in RePEc: Add citation now
  36. US Social Investment Foundation. The impact of sustainable and responsible investment. Technical report, 2016.
    Paper not yet in RePEc: Add citation now
  37. VIGEO. Green, social and ethical funds in europe. Technical report, 2016.
    Paper not yet in RePEc: Add citation now
  38. World Bank Institute. Public policy for corporate social responsibility. Technical report, 2003.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Shi, Huai-Long .
    In: Papers.
    RePEc:arx:papers:1910.13115.

    Full description at Econpapers || Download paper

  2. Anomalies Abroad: Beyond Data Mining. (2017). Yuan, Yu ; Stambaugh, Robert ; Lu, Xiaomeng .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23809.

    Full description at Econpapers || Download paper

  3. Asset Pricing with Idiosyncratic Shocks. (2016). Vanitcharearntham, Vimut ; Srisuksai, Pithak .
    In: Applied Economics Journal.
    RePEc:aej:apecjn:v:23:y:2016:i:1:p:35-58.

    Full description at Econpapers || Download paper

  4. Does Idiosyncratic Risk Matter? Evidence from the Japanese Stock Market. (2015). Xiao, Bing.
    In: Eurasian Journal of Business and Management.
    RePEc:ejn:ejbmjr:v:3:y:2015:i:3:p:12-19.

    Full description at Econpapers || Download paper

  5. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach. (2015). Tokpavi, Sessi ; Maillet, Bertrand ; Vaucher, Benoit .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:244:y:2015:i:1:p:289-299.

    Full description at Econpapers || Download paper

  6. Are extreme returns priced in the stock market? European evidence. (2013). Annaert, Jan ; de Ceuster, Marc ; Verstegen, Kurt .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:9:p:3401-3411.

    Full description at Econpapers || Download paper

  7. Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly. (2013). Humphery-Jenner, Mark ; Dutt, Tanuj ; Humphèry, Mark ; Humphery von Jenner, Mark.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:3:p:999-1017.

    Full description at Econpapers || Download paper

  8. Incomplete information, idiosyncratic volatility and stock returns. (2013). Berrada, Tony ; Hugonnier, Julien.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:448-462.

    Full description at Econpapers || Download paper

  9. Portfolio selection: An extreme value approach. (2013). DiTraglia, Francis ; Gerlach, Jeffrey R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:305-323.

    Full description at Econpapers || Download paper

  10. The volatility effect in emerging markets. (2013). Vliet, Pim ; Blitz, David ; van Vliet, Pim ; Pang, Juan .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:16:y:2013:i:c:p:31-45.

    Full description at Econpapers || Download paper

  11. Return dispersion, stock market liquidity and aggregate economic activity. (2013). Floros, Christos ; Degiannakis, Stavros ; Andrikopoulos, Andreas ; Angelidis, Timotheos.
    In: Working Papers.
    RePEc:bog:wpaper:166.

    Full description at Econpapers || Download paper

  12. Emerging Stock Premia: Some Evidence From Industrial Stock Market Data. (2013). Lucchetta, Marcella ; Donadelli, Michael.
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2013:p:398-422.

    Full description at Econpapers || Download paper

  13. An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union. (2012). Ammann, Manuel ; Oesch, David ; Odoni, Sandro .
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2012:02.

    Full description at Econpapers || Download paper

  14. U.K. cross-sectional equity data: The case for robust investability filters. (2012). Rossi, Francesco.
    In: MPRA Paper.
    RePEc:pra:mprapa:43312.

    Full description at Econpapers || Download paper

  15. Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers. (2012). Skintzi, Vasiliki ; Andrikopoulos, Andreas ; Angelidis, Timotheos.
    In: MPRA Paper.
    RePEc:pra:mprapa:40003.

    Full description at Econpapers || Download paper

  16. Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates. (2012). Rossi, Francesco.
    In: MPRA Paper.
    RePEc:pra:mprapa:38682.

    Full description at Econpapers || Download paper

  17. A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks. (2012). Papanikolaou, Dimitris ; Kogan, Leonid.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17975.

    Full description at Econpapers || Download paper

  18. Empirical cross-sectional asset pricing: a survey. (2012). Goyal, Amit.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:3-38.

    Full description at Econpapers || Download paper

  19. Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns. (2012). Zhylyevskyy, Oleksandr ; Khovansky, Serguey .
    In: Staff General Research Papers Archive.
    RePEc:isu:genres:34990.

    Full description at Econpapers || Download paper

  20. R&D, risks and overreaction in a market with the absence of the book-to-market effect. (2012). Chiao, Chaoshin ; Hung, Weifeng ; Liao, Tung Liang ; Huang, Sheng-Tang .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:22:y:2012:i:1:p:11-24.

    Full description at Econpapers || Download paper

  21. Asset pricing with idiosyncratic risk: The Spanish case. (2012). Miralles Quirós, Jose ; Miralles-Marcelo, Jose Luis ; Miralles-Quiros, Maria del Mar, .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:21:y:2012:i:1:p:261-271.

    Full description at Econpapers || Download paper

  22. Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets. (2012). Martinez Peria, Maria ; Love, Inessa ; Calomiris, Charles ; Martínez Pería, María Soledad, .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:4:p:743-765.

    Full description at Econpapers || Download paper

  23. An alternative three-factor model for international markets: Evidence from the European Monetary Union. (2012). Ammann, Manuel ; Oesch, David ; Odoni, Sandro .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:1857-1864.

    Full description at Econpapers || Download paper

  24. The implied cost of capital: A new approach. (2012). van Dijk, Mathijs ; Hou, Kewei ; Zhang, Yinglei .
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:53:y:2012:i:3:p:504-526.

    Full description at Econpapers || Download paper

  25. Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC. (2012). Bley, Jorg ; Saad, Mohsen.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:3:p:538-554.

    Full description at Econpapers || Download paper

  26. Are extreme returns priced in the stock market? European evidence. (2012). Annaert J., ; Verstegen K., ; De Ceuster M., .
    In: Working Papers.
    RePEc:ant:wpaper:2012018.

    Full description at Econpapers || Download paper

  27. U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters. (2011). Rossi, Francesco.
    In: MPRA Paper.
    RePEc:pra:mprapa:38303.

    Full description at Econpapers || Download paper

  28. Difference of opinion and the cross-section of equity returns: Australian evidence. (2011). Gharghori, Philip ; Veeraraghavan, Madhu ; See, Quin .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:19:y:2011:i:4:p:435-446.

    Full description at Econpapers || Download paper

  29. Maxing out: Stocks as lotteries and the cross-section of expected returns. (2011). Cakici, Nusret ; Bali, Turan G. ; Whitelaw, Robert F..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:2:p:427-446.

    Full description at Econpapers || Download paper

  30. Disagreement and return predictability of stock portfolios. (2011). Yu, Jialin .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:1:p:162-183.

    Full description at Econpapers || Download paper

  31. Religious beliefs, gambling attitudes, and financial market outcomes. (2011). Kumar, Alok ; Spalt, Oliver G. ; Page, Jeremy K..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:3:p:671-708.

    Full description at Econpapers || Download paper

  32. Limits-to-arbitrage, investment frictions, and the asset growth anomaly. (2011). Lam, F. Y. Eric C., ; Wei, K. C. John, .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:1:p:127-149.

    Full description at Econpapers || Download paper

  33. Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors. (2011). Chabi-Yo, Fousseni.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:8:p:1971-1983.

    Full description at Econpapers || Download paper

  34. Recovering copulas from limited information and an application to asset allocation. (2011). Chu, Ba.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:7:p:1824-1842.

    Full description at Econpapers || Download paper

  35. The return impact of realized and expected idiosyncratic volatility. (2011). Smedema, Adam R. ; Peterson, David R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2547-2558.

    Full description at Econpapers || Download paper

  36. Intertemporal risk-return trade-off in foreign exchange rates. (2011). Christiansen, Charlotte ; Charlotte, Christiansen .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:4:p:535-549.

    Full description at Econpapers || Download paper

  37. Disclosed corporate responses to climate change and stock performance: An international empirical analysis. (2011). Ziegler, Andreas ; Hoffmann, Volker H. ; Busch, Timo.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:6:p:1283-1294.

    Full description at Econpapers || Download paper

  38. The Joint Dynamics of Equity Market Factors. (2011). Christoffersen, Peter ; Langlois, Hugues.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-45.

    Full description at Econpapers || Download paper

  39. Preferred risk habitat of individual investors. (2010). Huberman, Gur ; Dorn, Daniel.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:97:y:2010:i:1:p:155-173.

    Full description at Econpapers || Download paper

  40. The Sarbanes-Oxley act and corporate investment: A structural assessment. (2010). Liu, Qiao ; Kang, Qiang ; Qi, Rong .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:96:y:2010:i:2:p:291-305.

    Full description at Econpapers || Download paper

  41. Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns. (2010). Guo, Hui ; Savickas, Robert .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1637-1649.

    Full description at Econpapers || Download paper

  42. World market risk, country-specific risk and expected returns in international stock markets. (2010). Cakici, Nusret ; Bali, Turan G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:6:p:1152-1165.

    Full description at Econpapers || Download paper

  43. Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns. (2009). Cakici, Nusret ; Bali, Turan G. ; Whitelaw, Robert F..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14804.

    Full description at Econpapers || Download paper

  44. Idiosyncratic risk and the cross-section of expected stock returns. (2009). Fu, Fangjian .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:91:y:2009:i:1:p:24-37.

    Full description at Econpapers || Download paper

  45. Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

    Full description at Econpapers || Download paper

  46. Investor sentiment and stock returns: Some international evidence. (2008). Schmeling, Maik.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-407.

    Full description at Econpapers || Download paper

  47. Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-48.

    Full description at Econpapers || Download paper

  48. Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle. (2007). Jiang, Danling ; Doran, James ; Peterson, David .
    In: MPRA Paper.
    RePEc:pra:mprapa:4995.

    Full description at Econpapers || Download paper

  49. The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries. (2006). Guo, Hui ; Savickas, Robert .
    In: Working Papers.
    RePEc:fip:fedlwp:2006-036.

    Full description at Econpapers || Download paper

  50. Aggregate idiosyncratic volatility in G7 countries. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-027.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-28 14:07:16 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.