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題名 ESG投資和基金風險
ESG investing and Fund Risks
作者 曾心儀
TSENG, HSIN-I
貢獻者 何靜嫺
曾心儀
TSENG, HSIN-I
關鍵詞 ESG 投資
基金風險
基金相關網絡
中心性
ESG Investing
Fund Risk
Fund Correlation Network
Centrality
日期 2022
上傳時間 1-Jun-2022 16:35:49 (UTC+8)
摘要 近年來，全球ESG投資迎來爆炸性成長，先前國外研究主題；多偏重ESG投資的表現，因此我們的研究著重於ESG投資的風險。由於永續投資其主要的投資策略為"ESG負面篩選"，會排除特定類型的企業，將大量的資金瞄準少數ESG表現佳的公司或共同基金，導致這些股票和基金的相關性越來越強。為了研究這些相關性的影響，我們使用晨星公司的樣本，並使用 "逆夏普比率 "來衡量基金風險。結果表明，基金的ESG表現與基金風險存在顯著的正向關係。當我們將ESG拆分為個別E/S/G得分時，研究結果顯示，如果一檔基金持有較多社會面(S)表現好的公司，比較不會受到，基金持股相關性增加造成的負面影響。接續，為了研究基金網絡中的傳染效應，我們構建了基金相關網絡（Fund Correlation Network），並使用 "中心性 "指標來衡量一個基金在這個網絡中的重要性。結果顯示，基金在網絡中的中心度越高，它就越能接受來自其他基金的傳染性風險，從而承擔更高的風險。當研究不同基金規模的子群體時，結果顯示，大型基金的傳染效應比小型基金的傳染效應要高得多（幾乎是四倍）。
There has been a significant expansion of ESG investing around the globe. While most literature addresses the performance of ESG investing, we investigate the risk aspect of ESG investing. As sustainable investment strategies screen assets according to their ESG indices, there is a large amount of money targeting on a few high ESG firms or mutual funds, which causes these stocks and funds to be increasingly correlated. To study the effects of these correlations, we investigate a sample from Morningstar and use “inverse Sharpe ratio” to measure fund risk. Our results first show that funds’ ESG performance are positively related to fund risk. When we collapse ESG to individual E\\S\\G scores, our results show that funds holding more companies with better social performance seem to be immune from the contrary effect caused by the increasing correlation among holding companies. Next, to study the contagious effect, we construct a fund correlation network and use indicators of “centrality” to measure a fund’s importance in this network. Our results show that the higher a fund’s centrality in the network, the more it would receive the contagious risks from other funds and hence bear higher risk. When investigating the ESG and contagious effects for subgroups with different fund sizes, our results show that the contagious effects for larger funds are much higher (almost four times) than those for smaller funds.
參考文獻 Abate, G., Basile, I., and Ferrari, P. (2021). The level of sustainability and mutual fund performance in Europe: An empirical analysis using ESG ratings. Corporate Social Responsibility and Environmental Management, 28(5), 1446-1455.
Abidin, S., and Gan, C. (2017). Do socially responsible investments strategies significantly  reduce diversification benefits?. MODSIM.
Alda, M. (2019). Corporate sustainability and institutional shareholders: The pressure of social responsible pension funds on environmental firm practices. Business Strategy and the Environment, 28(6), 1060-1071.
Alessi, L., Ossola, E., & Panzica, R. (2019). The Greenium matters: Evidence on the pricing of climate risks. Publications Office of the European Union. https://doi.org/10.2760/403111
Allen, F., Cai, J., Gu, X., Qian, J., Zhao, L., and Zhu, W. (2019). Ownership Networks and Firm Growth: What Do Forty Million Companies Tell Us About the Chinese Economy?. Available at SSRN 3465126.
Ashwin Kumar, N. C., Smith, C., Badis, L., Wang, N., Ambrosy, P., and Tavares, R. (2016). ESG factors and risk-adjusted performance: a new quantitative model. Journal of Sustainable Finance and Investment, 6(4), 292-300.
Barberis, N., and Shleifer, A. (2003). Style investing. Journal of financial Economics, 68(2), 161-199.
Barberis, N., Shleifer, A., and Wurgler, J. (2005). Comovement. Journal of financial economics, 75(2), 283-317.
Black, F. and Scholes, M. (1974) The Effects of Dividend Policy on Common Stock Prices and Returns. Journal of Financial Economics, 2, 1-22.
Bogle, J. C. (1998). The implications of style analysis for mutual fund performance evaluation. Journal of Portfolio Management, 24(4), 34.
Bonacich, P. (1972). Technique for analyzing overlapping memberships. Sociological methodology, 4, 176-185.
Bonanno, Giovanni; Caldarelli, Guido; Lillo, Fabrizio; Mantegna, Rosario N. (2003). Topology of correlation-based minimal spanning trees in real and model markets. Physical Review E. American Physical Society (APS). 68 (4): 046130.
Broadstock, D. C., Chan, K., Cheng, L. T., and Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance research letters, 38, 101716.
Capelle‐Blancard, G., & Monjon, S. (2014). The performance of socially responsible funds: Does the screening process matter?. European Financial Management, 20(3), 494-520.
Cerqueti, R., Ciciretti, R., Dalò, A., & Nicolosi, M. (2021). ESG investing: A chance to reduce systemic risk. Journal of Financial Stability, 54, 100887.
Chevalier, J., and Ellison, G. (1997). Risk taking by mutual funds as a response to incentives. Journal of political economy, 105(6), 1167-1200.
Das, N., Chatterje, S., Ruf, B., & Sunder, A. (2018). ESG Ratings and the Performance of Socially Responsible Mutual Funds: A Panel Study. Journal of Finance Issues, 17(1), 49-57.
de Haan, M., Dam, L., & Scholtens, B. (2012). The drivers of the relationship between corporate environmental performance and stock market returns. Journal of Sustainable Finance & Investment, 2(3-4), 338-375.
Diebold, F. X., and Yılmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of econometrics, 182(1), 119-134.
Eccles, R. G., Ioannou, I., & Serafeim, G. (2012). The impact of a corporate culture of sustainability on corporate behavior and performance (Vol. 17950). Cambridge, MA, USA: National Bureau of Economic Research.
Edelen, R., Evans, R., and Kadlec, G. (2013). Shedding light on invisible costs: Trading costs and mutual fund performance. Financial Analysts Journal, 69(1), 33-44.
Fama, E. F., and French, K. R. (1988). Dividend yields and expected stock returns. Journal of financial economics, 22(1), 3-25.
Farooq, K., Chui, C. M., and Azeem, M. (2021). Board centrality and investment efficiency. Asia-Pacific Journal of Accounting and Economics, 1-34.
Ferriani, F., and Natoli, F. (2021). ESG risks in times of Covid-19. Applied Economics Letters, 28(18), 1537-1541.
Freeman, L. C. (1978). Centrality in social networks conceptual clarification. Social networks, 1(3), 215-239.
Friede, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5(4), 210-233.
Gallo, J. G., & Lockwood, L. (1997). Benefits of proper style classification of equity portfolio managers. Journal of Portfolio Management, 23(3), 47.
Gil-Bazo, J., Ruiz-Verdú, P., & Santos, A. A. (2010). The performance of socially responsible mutual funds: The role of fees and management companies. Journal of Business Ethics, 94(2), 243-263.
Godigbe, B. G., Chui, C. M., and Liu, C. L. (2018). Directors network centrality and earnings quality. Applied Economics, 50(50), 5381-5400.
Hoepner, A. G. (2010). Portfolio diversification and environmental, social or governance   criteria: Must responsible investments really be poorly diversified. SSRN Electronic Journal, 1-16.
Hu, X., Cang, Y., Ren, L., and Liu, J. (2020). Fund Network Centrality, Hard-to-Value Portfolio, and Investment Performance. Complexity, 2020.
Humphrey, J. E., & Lee, D. D. (2011). Australian socially responsible funds: Performance, risk and screening intensity. Journal of Business Ethics, 102(4), 519-535.
Kanamura, T. (2021). Risk mitigation and return resilience for high yield bond ETFs with ESG components. Finance Research Letters, 41, 101866.
Kiymaz, H. (2019). Factors influencing SRI fund performance. Journal of Capital Markets Studies.
Lean, H. H., Ang, W. R., and Smyth, R. (2014). Performance persistence of socially responsible investment funds in the Asia Pacific region. Chapter, 20, 377-392.
Lee, D. D., Humphrey, J. E., Benson, K. L., & Ahn, J. Y. (2010). Socially responsible investment fund performance: the impact of screening intensity. Accounting & Finance, 50(2), 351-370.
Lieberman, D. (2020). Impact investing 2.0—Not just for do-gooders anymore. The Journal of Investing, 29(2), 58-69.
Lu, C., and Wooldridge, J. M. (2020). A GMM estimator asymptotically more efficient than OLS and WLS in the presence of heteroskedasticity of unknown form. Applied Economics Letters, 27(12), 997-1001.
Mantegna, R.N. (1999). Hierarchical structure in financial markets. The European Physical Journal B. Springer Science and Business Media LLC. 11 (1): 193–197.
Maxfield, S., and Wang, L. (2021). Does sustainable investing reduce portfolio risk? A multilevel analysis. European Financial Management, 27(5), 959-980.
Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193.
Onnela, J.-P.; Chakraborti, A.; Kaski, K.; Kertész, J. (2003). Dynamic asset trees and Black Monday. Physica A: Statistical Mechanics and Its Applications. 324 (1–2): 247–252.
Ramcharran, H. (2002). An empirical analysis of the determinants of the P/E ratio in emerging markets. Emerging Markets Review, 3(2), 165-178.
Rathner, S. (2013). The influence of primary study characteristics on the performance differential between socially responsible and conventional investment funds: A meta-analysis. Journal of Business Ethics, 118(2), 349-363.
Renders, A., Gaeremynck, A., & Sercu, P. (2010). Corporate-governance ratings and company performance: A cross-European study. Corporate Governance: An International Review, 18(2), 87–106. https://doi.org/ 10.1111/j.1467-8683.2010.00791.
Revelli, C., & Viviani, J. L. (2015). Financial performance of socially responsible investing (SRI): what have we learned? A meta‐analysis. Business Ethics: A European Review, 24(2), 158-185.
Selvam, M., & Palanisamy, B. (2011). Analysis of risk and return relationship of Indian Equity (dividend) mutual fund schemes. Available at SSRN 1862214.
Tse, C. K., Liu, J., & Lau, F. C. M. (2010). A network perspective of the stock market. Journal of Empirical Finance, 17(4), 659–667.
Vandewalle, N. Brisbois, F. and Tordoir, X. (2001). Self-organized critical topology of stock markets. Quantitative Finance (1): 372–375
Verheyden, T., Eccles, R. G., and Feiner, A. (2016). ESG for all? The impact of ESG screening on return, risk, and diversification. Journal of Applied Corporate Finance, 28(2), 47-55.
Wang, Shao An (2017). Financial Contagion and Credit Risk in Shipping Industry: A Network Analysis. Department of Economics National Chengchi University Master Thesis. https://hdl.handle.net/11296/9dk5x9
Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of Finance, 55(4), 1655-1695.
Winegarden, W. (2019). Environmental, Social, and Governance (ESG) Investing: An Evaluation of the Evidence. Pacific Research Institute.
Winegarden, W. (2019). Environmental, Social, and Governance (ESG) Investing: An Evaluation of the Evidence. Pacific Research Institute.
Yu, S., Wang, H., and Dong, C. (2020). Learning risk preferences from investment portfolios using inverse optimization. arXiv preprint arXiv:2010.01687.
描述 碩士
國立政治大學
經濟學系
109258024
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109258024
資料類型 thesis
dc.contributor.advisor 何靜嫺zh_TW
dc.contributor.author (Authors) 曾心儀zh_TW
dc.contributor.author (Authors) TSENG, HSIN-Ien_US
dc.creator (作者) 曾心儀zh_TW
dc.creator (作者) TSENG, HSIN-Ien_US
dc.date (日期) 2022en_US
dc.date.accessioned 1-Jun-2022 16:35:49 (UTC+8)-
dc.date.available 1-Jun-2022 16:35:49 (UTC+8)-
dc.date.issued (上傳時間) 1-Jun-2022 16:35:49 (UTC+8)-
dc.identifier (Other Identifiers) G0109258024en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140225-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 109258024zh_TW
dc.description.abstract (摘要) 近年來，全球ESG投資迎來爆炸性成長，先前國外研究主題；多偏重ESG投資的表現，因此我們的研究著重於ESG投資的風險。由於永續投資其主要的投資策略為"ESG負面篩選"，會排除特定類型的企業，將大量的資金瞄準少數ESG表現佳的公司或共同基金，導致這些股票和基金的相關性越來越強。為了研究這些相關性的影響，我們使用晨星公司的樣本，並使用 "逆夏普比率 "來衡量基金風險。結果表明，基金的ESG表現與基金風險存在顯著的正向關係。當我們將ESG拆分為個別E/S/G得分時，研究結果顯示，如果一檔基金持有較多社會面(S)表現好的公司，比較不會受到，基金持股相關性增加造成的負面影響。接續，為了研究基金網絡中的傳染效應，我們構建了基金相關網絡（Fund Correlation Network），並使用 "中心性 "指標來衡量一個基金在這個網絡中的重要性。結果顯示，基金在網絡中的中心度越高，它就越能接受來自其他基金的傳染性風險，從而承擔更高的風險。當研究不同基金規模的子群體時，結果顯示，大型基金的傳染效應比小型基金的傳染效應要高得多（幾乎是四倍）。zh_TW
dc.description.abstract (摘要) There has been a significant expansion of ESG investing around the globe. While most literature addresses the performance of ESG investing, we investigate the risk aspect of ESG investing. As sustainable investment strategies screen assets according to their ESG indices, there is a large amount of money targeting on a few high ESG firms or mutual funds, which causes these stocks and funds to be increasingly correlated. To study the effects of these correlations, we investigate a sample from Morningstar and use “inverse Sharpe ratio” to measure fund risk. Our results first show that funds’ ESG performance are positively related to fund risk. When we collapse ESG to individual E\\S\\G scores, our results show that funds holding more companies with better social performance seem to be immune from the contrary effect caused by the increasing correlation among holding companies. Next, to study the contagious effect, we construct a fund correlation network and use indicators of “centrality” to measure a fund’s importance in this network. Our results show that the higher a fund’s centrality in the network, the more it would receive the contagious risks from other funds and hence bear higher risk. When investigating the ESG and contagious effects for subgroups with different fund sizes, our results show that the contagious effects for larger funds are much higher (almost four times) than those for smaller funds.en_US
dc.description.tableofcontents Content
List of Tables 6
List of Figures 7
1. Introduction 8
2. Related Literature 11
3. Evidence 15
4. Style investing and Portfolio Risk 19
5. Data and Variables 21
5.1 Fund Risk 22
5.2 ESG Related Variables 23
5.3 Other Fund Specific Variables 24
5.4 Fund Correlation Network and Degrees Of Centrality 26
6. Regression Results 30
6.1 Impacts of ESG Performance 32
6.2 Contagious effects from other funds 34
6.3 Tests of Multicollinearity and Heteroscedasticity 36
7. Robustness Checks 37
7.1 Does fund size matters? 37
7.2 Does risk level matters? 40
7.3 Other ESG metric and estimation method 40
8. Concluding Remarks 44
References 46
Appendix 49
Table A1: Variables, Definitions and Sources 49
Table A2: Summary Statistics 51
Table A3: Correlation Coefficient Matrix 52


List of Tables
Table 1 The effect of ESG performance on sustainable fund risk 33
Table 2 The effects of network centrality and ESG performance on sustainable fund risk 35
Table 3 The effects of network centrality and ESG performance on sustainable fund risk Comparisons between larger and smaller funds 38
Table 4 The effects of network centrality and ESG performance on sustainable fund risk Quantile regression results 39
Table 5 The effects of network centrality and ESG performance on sustainable fund risk ESG metric: SustRating 41
Table 6 The effects of network centrality and ESG performance on sustainable fund risk GMM regression results 43


List of Figures
Figure 1 Top 15 companies among the top-10 holdings of 192 ESG funds 17
Figure 2 One-month correlations for top-15 holding companies.
18
Figure 3 Six-month correlations for top-15 holding companies. 18
Figure 4 The fund correlation network 28		zh_TW
dc.format.extent 2777186 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109258024en_US
dc.subject (關鍵詞) ESG 投資zh_TW
dc.subject (關鍵詞) 基金風險zh_TW
dc.subject (關鍵詞) 基金相關網絡zh_TW
dc.subject (關鍵詞) 中心性zh_TW
dc.subject (關鍵詞) ESG Investingen_US
dc.subject (關鍵詞) Fund Risken_US
dc.subject (關鍵詞) Fund Correlation Networken_US
dc.subject (關鍵詞) Centralityen_US
dc.title (題名) ESG投資和基金風險zh_TW
dc.title (題名) ESG investing and Fund Risksen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Abate, G., Basile, I., and Ferrari, P. (2021). The level of sustainability and mutual fund performance in Europe: An empirical analysis using ESG ratings. Corporate Social Responsibility and Environmental Management, 28(5), 1446-1455.
Abidin, S., and Gan, C. (2017). Do socially responsible investments strategies significantly  reduce diversification benefits?. MODSIM.
Alda, M. (2019). Corporate sustainability and institutional shareholders: The pressure of social responsible pension funds on environmental firm practices. Business Strategy and the Environment, 28(6), 1060-1071.
Alessi, L., Ossola, E., & Panzica, R. (2019). The Greenium matters: Evidence on the pricing of climate risks. Publications Office of the European Union. https://doi.org/10.2760/403111
Allen, F., Cai, J., Gu, X., Qian, J., Zhao, L., and Zhu, W. (2019). Ownership Networks and Firm Growth: What Do Forty Million Companies Tell Us About the Chinese Economy?. Available at SSRN 3465126.
Ashwin Kumar, N. C., Smith, C., Badis, L., Wang, N., Ambrosy, P., and Tavares, R. (2016). ESG factors and risk-adjusted performance: a new quantitative model. Journal of Sustainable Finance and Investment, 6(4), 292-300.
Barberis, N., and Shleifer, A. (2003). Style investing. Journal of financial Economics, 68(2), 161-199.
Barberis, N., Shleifer, A., and Wurgler, J. (2005). Comovement. Journal of financial economics, 75(2), 283-317.
Black, F. and Scholes, M. (1974) The Effects of Dividend Policy on Common Stock Prices and Returns. Journal of Financial Economics, 2, 1-22.
Bogle, J. C. (1998). The implications of style analysis for mutual fund performance evaluation. Journal of Portfolio Management, 24(4), 34.
Bonacich, P. (1972). Technique for analyzing overlapping memberships. Sociological methodology, 4, 176-185.
Bonanno, Giovanni; Caldarelli, Guido; Lillo, Fabrizio; Mantegna, Rosario N. (2003). Topology of correlation-based minimal spanning trees in real and model markets. Physical Review E. American Physical Society (APS). 68 (4): 046130.
Broadstock, D. C., Chan, K., Cheng, L. T., and Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance research letters, 38, 101716.
Capelle‐Blancard, G., & Monjon, S. (2014). The performance of socially responsible funds: Does the screening process matter?. European Financial Management, 20(3), 494-520.
Cerqueti, R., Ciciretti, R., Dalò, A., & Nicolosi, M. (2021). ESG investing: A chance to reduce systemic risk. Journal of Financial Stability, 54, 100887.
Chevalier, J., and Ellison, G. (1997). Risk taking by mutual funds as a response to incentives. Journal of political economy, 105(6), 1167-1200.
Das, N., Chatterje, S., Ruf, B., & Sunder, A. (2018). ESG Ratings and the Performance of Socially Responsible Mutual Funds: A Panel Study. Journal of Finance Issues, 17(1), 49-57.
de Haan, M., Dam, L., & Scholtens, B. (2012). The drivers of the relationship between corporate environmental performance and stock market returns. Journal of Sustainable Finance & Investment, 2(3-4), 338-375.
Diebold, F. X., and Yılmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of econometrics, 182(1), 119-134.
Eccles, R. G., Ioannou, I., & Serafeim, G. (2012). The impact of a corporate culture of sustainability on corporate behavior and performance (Vol. 17950). Cambridge, MA, USA: National Bureau of Economic Research.
Edelen, R., Evans, R., and Kadlec, G. (2013). Shedding light on invisible costs: Trading costs and mutual fund performance. Financial Analysts Journal, 69(1), 33-44.
Fama, E. F., and French, K. R. (1988). Dividend yields and expected stock returns. Journal of financial economics, 22(1), 3-25.
Farooq, K., Chui, C. M., and Azeem, M. (2021). Board centrality and investment efficiency. Asia-Pacific Journal of Accounting and Economics, 1-34.
Ferriani, F., and Natoli, F. (2021). ESG risks in times of Covid-19. Applied Economics Letters, 28(18), 1537-1541.
Freeman, L. C. (1978). Centrality in social networks conceptual clarification. Social networks, 1(3), 215-239.
Friede, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5(4), 210-233.
Gallo, J. G., & Lockwood, L. (1997). Benefits of proper style classification of equity portfolio managers. Journal of Portfolio Management, 23(3), 47.
Gil-Bazo, J., Ruiz-Verdú, P., & Santos, A. A. (2010). The performance of socially responsible mutual funds: The role of fees and management companies. Journal of Business Ethics, 94(2), 243-263.
Godigbe, B. G., Chui, C. M., and Liu, C. L. (2018). Directors network centrality and earnings quality. Applied Economics, 50(50), 5381-5400.
Hoepner, A. G. (2010). Portfolio diversification and environmental, social or governance   criteria: Must responsible investments really be poorly diversified. SSRN Electronic Journal, 1-16.
Hu, X., Cang, Y., Ren, L., and Liu, J. (2020). Fund Network Centrality, Hard-to-Value Portfolio, and Investment Performance. Complexity, 2020.
Humphrey, J. E., & Lee, D. D. (2011). Australian socially responsible funds: Performance, risk and screening intensity. Journal of Business Ethics, 102(4), 519-535.
Kanamura, T. (2021). Risk mitigation and return resilience for high yield bond ETFs with ESG components. Finance Research Letters, 41, 101866.
Kiymaz, H. (2019). Factors influencing SRI fund performance. Journal of Capital Markets Studies.
Lean, H. H., Ang, W. R., and Smyth, R. (2014). Performance persistence of socially responsible investment funds in the Asia Pacific region. Chapter, 20, 377-392.
Lee, D. D., Humphrey, J. E., Benson, K. L., & Ahn, J. Y. (2010). Socially responsible investment fund performance: the impact of screening intensity. Accounting & Finance, 50(2), 351-370.
Lieberman, D. (2020). Impact investing 2.0—Not just for do-gooders anymore. The Journal of Investing, 29(2), 58-69.
Lu, C., and Wooldridge, J. M. (2020). A GMM estimator asymptotically more efficient than OLS and WLS in the presence of heteroskedasticity of unknown form. Applied Economics Letters, 27(12), 997-1001.
Mantegna, R.N. (1999). Hierarchical structure in financial markets. The European Physical Journal B. Springer Science and Business Media LLC. 11 (1): 193–197.
Maxfield, S., and Wang, L. (2021). Does sustainable investing reduce portfolio risk? A multilevel analysis. European Financial Management, 27(5), 959-980.
Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193.
Onnela, J.-P.; Chakraborti, A.; Kaski, K.; Kertész, J. (2003). Dynamic asset trees and Black Monday. Physica A: Statistical Mechanics and Its Applications. 324 (1–2): 247–252.
Ramcharran, H. (2002). An empirical analysis of the determinants of the P/E ratio in emerging markets. Emerging Markets Review, 3(2), 165-178.
Rathner, S. (2013). The influence of primary study characteristics on the performance differential between socially responsible and conventional investment funds: A meta-analysis. Journal of Business Ethics, 118(2), 349-363.
Renders, A., Gaeremynck, A., & Sercu, P. (2010). Corporate-governance ratings and company performance: A cross-European study. Corporate Governance: An International Review, 18(2), 87–106. https://doi.org/ 10.1111/j.1467-8683.2010.00791.
Revelli, C., & Viviani, J. L. (2015). Financial performance of socially responsible investing (SRI): what have we learned? A meta‐analysis. Business Ethics: A European Review, 24(2), 158-185.
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dc.identifier.doi (DOI) 10.6814/NCCU202200445en_US