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Performance Analysis of Sustainable Investments in the Brazilian Stock Market: A Study About the Corporate Sustainability Index (ISE)

Journal of business ethics, 2013-09, Vol.117 (1), p.19-36 [Peer Reviewed Journal]

2013 Springer Science+Business Media ;Springer Science+Business Media B.V. 2012 ;Springer Science+Business Media Dordrecht 2013 ;ISSN: 0167-4544 ;EISSN: 1573-0697 ;DOI: 10.1007/s10551-012-1484-2 ;CODEN: JBUEDJ

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Title:
Performance Analysis of Sustainable Investments in the Brazilian Stock Market: A Study About the Corporate Sustainability Index (ISE)
Author: de Souza Cunha, Felipe Arias Fogliano ; Samanez, Carlos Patricio
Subjects: Brazil ; Business and Management ; Business community ; Business Ethics ; Business structures ; Capital markets ; Corporate governance ; Disclosure ; Education ; Emissions ; Ethics ; Financial investments ; Financial performance ; Futures ; Green businesses ; Greenhouse gases ; Income distribution ; Indexes ; Initiatives ; International ; Investment ; Investment policy ; Investments ; Investors ; Liquidity ; Management ; Philosophy ; Portfolio management ; Portfolio performance ; Quality of Life Research ; Renewable energy ; Securities analysis ; Securities markets ; Stock exchange ; Stock exchanges ; Stock market indices ; Stockholders ; Studies ; Sustainability ; Sustainability management ; Sustainable development ; Sustainable economic development ; Sustainable global economy ; Sustainable markets
Is Part Of: Journal of business ethics, 2013-09, Vol.117 (1), p.19-36
Description: In this article, we studied the Corporate Sustainability Index (ISE) of the Brazilian Mercantile, Futures and Stock Exchange (BM&FBOVESPA), with the main objective of analyzing the performance of sustainable investments in the Brazilian stock market, during the period from December 2005 to December 2010. To achieve this aim, we characterized ISE portfolios and we compared its performance with the IBOVESPA (representing the market portfolio) and other BM&FBOVESPA sectoral indices. In the performance comparison, we used level of liquidity, return and risk indicators, as well as the following measures: Sharpe, Treynor, Sortino, and Omega. Our results show that although sustainable investments have presented some interesting characteristics, such as increasing liquidity and low diversifiable risk, they did not achieve satisfactory financial performance in the analysis period. This indicates that the constraints imposed by this type of investment in capital allocation in Brazil may be harming their return and risk attractiveness.
Publisher: Dordrecht: Springer
Language: English
Identifier: ISSN: 0167-4544
EISSN: 1573-0697
DOI: 10.1007/s10551-012-1484-2
CODEN: JBUEDJ
Source: ProQuest One Psychology
AUTh Library subscriptions: ProQuest Central
Alma/SFX Local Collection

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Performance Analysis of Sustainable Investments in the Brazilian Stock Market: A Study About the Corporate Sustainability Index (ISE)

2013 Springer Science+Business Media ;Springer Science+Business Media B.V. 2012 ;Springer Science+Business Media Dordrecht 2013 ;ISSN: 0167-4544 ;EISSN: 1573-0697 ;DOI: 10.1007/s10551-012-1484-2 ;CODEN: JBUEDJ

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