Date of Award


Degree Type

Doctoral Dissertation

Degree Name

Doctor of Business Administration (DBA)


Jack Welch College of Business


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.

Dissertation Supervisor

Dr. Lorán Chollete

Committee Member

Dr. Vinod Singhal

Committee Member

Dr. Michael Gorman


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

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.



To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.