Date of Award
4-30-2021
Degree Type
Doctoral Dissertation
Degree Name
Doctor of Business Administration (DBA)
Department
Jack Welch College of Business
Dissertation Supervisor
Dr. Lorán Chollete
Committee Member
Dr. Vinod Singhal
Committee Member
Dr. Michael Gorman
Abstract
Can an investor realize meaningful returns by choosing sustainability? Global Knights publishes an annual 100 Global Most Sustainable companies list which has been announced each January in Davos, Switzerland since 2005. This paper examines the global recognition of the US sustainable companies which make that list and the presence of cumulative abnormal returns of their portfolio. Event study methodology is used to assess short and long term cumulative abnormal returns of a dynamic portfolio updated annually over 16 years to include those names. Standard Deviations and Sortino Ratios are evaluated to determine the comparative level of risk a potential investor would assume if holding the sustainable portfolio vis-a-vis the overall market. We find the Sortino ratio of the sustainable portfolio is 1.98 vs. the market Sortino of 1.62. This could be useful for portfolio design as a risk reduction factor through improved downside capture. We find that cumulative abnormal returns show significance at windows (-10 + 63) and windows (-10+84) at the 95% significance level through parametric tests. We find non-parametric test significance at windows of 200 trading days and over at the 95% significance level. The results suggest the ranking methodology and selection to the Global list by Corporate Knights could be a meaningful risk-adjusted contributor to cumulative abnormal returns. Additional research with more data availability over time can provide more granularity as to the why of this phenomenon.
JEL Classification
C1, C12, C14, G1, G12, G11, G30, Q01
Recommended Citation
Hite, J. G. (2021). Global recognition of sustainable companies and the search for meaningful returns. Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Included in
Business Administration, Management, and Operations Commons, Business Law, Public Responsibility, and Ethics Commons, Portfolio and Security Analysis Commons
Comments
In partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance, Sacred Heart University, Jack Welch College of Business and Technology.