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A critical evaluation of risk-return characteristics of environmentally focused stock's companies

Author

Listed:
  • Stanislav Škapa

    (Department of Economy, Faculty of Business and Management, Brno University of Technology, Kolejní 4, 612 00 Brno, Czech Republic)

  • Tomáš Meluzín

    (Department of Economy, Faculty of Business and Management, Brno University of Technology, Kolejní 4, 612 00 Brno, Czech Republic)

  • Marek Zinecker

    (Department of Finance, Faculty of Business and Management, Brno University of Technology, Kolejní 4, 612 00 Brno, Czech Republic)

Abstract

The objective of the paper is to critically evaluate and determine risk-return profile environmentally focused stock's companies which are covered by STOXX Global ESG Environmental Leaders Index and whether this index should be taken in as an independent asset class of investments portfolio for its risk-return improvement. This paper gives an empirical view on the ex-post asset classes characteristics focused mainly on risk side of investment.

Suggested Citation

  • Stanislav Škapa & Tomáš Meluzín & Marek Zinecker, 2013. "A critical evaluation of risk-return characteristics of environmentally focused stock's companies," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(2), pages 501-506.
    • Handle: RePEc:mup:actaun:actaun_2013061020501
    DOI: 10.11118/actaun201361020501
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    References listed on IDEAS

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    1. Daniel Kahneman & Amos Tversky, 2013. "Prospect Theory: An Analysis of Decision Under Risk," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127, World Scientific Publishing Co. Pte. Ltd..
    2. Kidokoro, Yukihiro, 1998. "Rate of return regulation and rate base valuation," Regional Science and Urban Economics, Elsevier, vol. 28(5), pages 629-654, September.
    3. Cédric Perret-Gentil & Maria-Pia Victoria-Feser, 2005. "Robust Mean-Variance Portfolio Selection," FAME Research Paper Series rp140, International Center for Financial Asset Management and Engineering.
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