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| Format: | Artículo científico |
| Language: | en |
| Published: |
Associação Brasileira de Engenharia de Produção
2016
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| Online Access: | https://www.redalyc.org/articulo.oa?id=396746694002 |
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Table of Contents:
- Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market Vitor Gonçalves de Azevedo André Alves Portela Santos Lucila Maria de Souza Campos Ingeniería ISE Fama CAPM Anomalies French Three The paper investigates the impact of corporate sustainability on asset prices. For that purpose, we develop a novel corporate sustainability factor and test the extent to which this factor is priced in an augmented four-factor version of the traditional Fama & French (1993) asset pricing model. The corporate sustainability factor is based on a zero-investment portfolio which is long in stocks with high sustainability and short in stocks with low sustainability. We use data on the Brazilian stock market to estimate alternative model specifications with different combinations of four explanatory variables: the corporate sustainability premium, the market risk factor premium, the size factor premium and the book-to-market factor premium. Our results indicate that corporate sustainability is priced and helps to explain the variability in the cross-section of expected stock returns. 2016 artículo científico 0103-6513 https://www.redalyc.org/articulo.oa?id=396746694002 en http://www.redalyc.org/revista.oa?id=3967 Production application/pdf Associação Brasileira de Engenharia de Produção Production (Brasil) Num.3 Vol.26