Environmental and Resource Economics

, Volume 37, Issue 4, pp 661–680 | Cite as

The effect of environmental and social performance on the stock performance of european corporations

  • Andreas Ziegler
  • Michael Schröder
  • Klaus Rennings


This paper examines the effect of sustainability performance of European corporations on their stock performance, measured as the average monthly stock return from 1996 to 2001. The econometric analysis is based on common empirical asset pricing models, particularly on the multifactor model according to Fama and French (1993, Journal of Financial Economics, 33:3–56). The consideration of sustainability performance is two-fold: The average sustainability performance of the industry in which a corporation operates and the relative sustainability performance of a corporation within a given industry. The main result is that the average environmental performance of the industry has a significantly positive influence on the stock performance. In contrast, the average social performance of the industry has a significantly negative influence. The variables of the relative environmental or social performance of a corporation within a given industry have no significant effect on the stock performance. As a by-product, the econometric analysis implies that some results of Fama and French (1993, 1996, The Journal of Finance, LI (1):55–84) regarding the risk factors of the multifactor model need not hold true for different observation periods, for different stock markets, and for the use of single stocks (instead of portfolios).


Sustainability Environmental and social performance Stock performance CAPM Multifactor model 

JEL classification

Q01 Q56 G12 


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Copyright information

© Springer Science+Business Media, Inc. 2007

Authors and Affiliations

  • Andreas Ziegler
    • 1
  • Michael Schröder
    • 1
  • Klaus Rennings
    • 1
  1. 1.Center for Corporate Responsibility and Sustainability at the University of ZurichZurichSwitzerland

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