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- W4367183180 abstract "Abstract We investigate the returns from investing according to corporate social responsibility (CSR) criteria using factor model estimations for a large sample of U.S. firms over the period 2003–2017. To identify the CSR intensity that allows investors to optimize their portfolio returns for a given amount of risk, we relate factor-adjusted portfolio returns to a variety of risk measures. This consideration is important as equity risks have been shown to significantly decrease with CSR. Surprisingly, our results indicate that the lowest CSR-rated portfolios are able to outperform their higher CSR-rated counterparts: Not only do they show higher factor-adjusted returns but they also deliver higher return-to-risk ratios. This indicates that equity returns in our sample decrease even more strongly than the corresponding risks with rising CSR activity." @default.
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- W4367183180 date "2023-04-27" @default.
- W4367183180 modified "2023-10-11" @default.
- W4367183180 title "The risk-return tradeoff: are sustainable investors compensated adequately?" @default.
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- W4367183180 doi "https://doi.org/10.1057/s41260-023-00303-6" @default.
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