Quotation Weinmayer, Karl, Rammerstorfer, Margarethe, Amon, Julian. 2021. Environmental Portfolios - Evidence from screening and passive portfolio management. Sustainability. 13 (22), 1-23.


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Abstract

Environmental portfolios via screening or optimization with respect to ecological criteria are not clear-cut concepts. Often, they urge investors to reduce the asset universe, which is accompanied by diversification losses. In this article, we show that a simple passive asset selection strategy based on environmental criteria allows ecological investors to adjust their portfolios without compromising or even reducing risk-adjusted financial performance. In detail, we show that screening does not lead to a significant financial performance reduction. Moreover, we propose an asset selection based on an environmental criteria that improves the portfolios’ financial performance, and further improves its potential positive environmental impact. Our results suggest that a combination of a screening and an environmental-scoring-based asset allocation seems to be a viable option for environmentally responsible investors leveraging the advantages of both strategies. Furthermore, we construct a risk factor CMP (clean minus polluting) and document a significant factor loading when added to the Fama–French five-factor model, suggesting the existence of a risk premium based on a firm’s environmental performance.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Sustainability
Citation Index SSCI
WU-Journal-Rating new STRAT-C
Language English
Title Environmental Portfolios - Evidence from screening and passive portfolio management
Volume 13
Number 22
Year 2021
Page from 1
Page to 23
Reviewed? Y
DOI http://dx.doi.org/10.3390/su132212647
Open Access Y
Open Access Link https://www.mdpi.com/2071-1050/13/22/12647/htm

Associations

People
Rammerstorfer, Margarethe (Details)
Amon, Julian (Details)
External
Weinmayer, Karl (Modul University, Austria)
Organization
Institute for Finance, Banking and Insurance IN (Details)
Competence Center for Sustainability Transformation and Responsibility WE (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
5347 Operations research (Details)
5358 Corporate finances (Details)
5361 Financial management (Details)
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