Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis
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.
Year of publication: |
2014
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Authors: | Lean, Hooi Hooi ; Nguyen, Duc Khuong |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 24.2014, 21, p. 1367-1373
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Publisher: |
Taylor & Francis Journals |
Saved in:
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