IDEAS home Printed from https://ideas.repec.org/a/wly/buseth/v32y2023i1p358-370.html
   My bibliography  Save this article

Screening: Value enhancing or diminishing?

Author

Listed:
  • Yann Ferrat
  • Frédéric Daty
  • Radu Burlacu

Abstract

Using an international sample of environmental and social firm‐level ratings between 2007 and 2019, we form synthetic overlapping region‐based equity portfolios to examine the impact of screening stringency on abnormal returns and specific risk. While previous literature analyzes this relationship in a bidimensional setting, inferences made in this study are additionally robust to regional levels of market efficiency. Our results suggest that (1) screening stringency displays an inverted curvilinear relationship with risk‐adjusted returns and (2) the impact on specific risk is strictly increasing. Thus, portfolios that employ marginal and substantial screening incur the cost of responsible investing. However, moderate screening has the benefit of increasing performance without the burden of financing the least responsible corporations.

Suggested Citation

  • Yann Ferrat & Frédéric Daty & Radu Burlacu, 2023. "Screening: Value enhancing or diminishing?," Business Ethics, the Environment & Responsibility, John Wiley & Sons, Ltd., vol. 32(1), pages 358-370, January.
    • Handle: RePEc:wly:buseth:v:32:y:2023:i:1:p:358-370
    DOI: 10.1111/beer.12453
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/beer.12453
    Download Restriction: no
    File URL: https://libkey.io/10.1111/beer.12453?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:buseth:v:32:y:2023:i:1:p:358-370. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://onlinelibrary.wiley.com/journal/26946424 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.