arbiter
JournalsAccount

Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis

Hooi Hooi Lean & Duc Khuong Nguyen

Applied Financial Economics2014https://doi.org/10.1080/09603107.2014.925063article
AJG 2ABDC B
Weight
0.74

Abstract

We analyse the performance characteristics of sustainable investments over the period 2004 to 2013. Our unconditional analysis shows that the sustainable portfolios, represented by the Dow Jones Sustainability Indices for the global and three regional markets, experience lower Sharpe ratios than their corresponding conventional portfolios. The conditional analysis indicates some evidence of significant effects of the recent crisis on sustainable investment return and volatility, while the US policy uncertainty only affects returns in two regions (Asia Pacific and North America) during the crisis period. We finally find a relative decoupling of sustainable investing from the overall market system during crisis times.

88 citations

Open via your library →

Cite this paper

https://doi.org/https://doi.org/10.1080/09603107.2014.925063

Or copy a formatted citation

@article{hooi2014,
  title        = {{Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis}},
  author       = {Hooi Hooi Lean & Duc Khuong Nguyen},
  journal      = {Applied Financial Economics},
  year         = {2014},
  doi          = {https://doi.org/https://doi.org/10.1080/09603107.2014.925063},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.74

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact1.00 × 0.4 = 0.40
M · momentum0.77 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.