Financial Markets and Portfolio Management

, Volume 28, Issue 4, pp 363–407 | Cite as

Corporate sustainability in asset pricing models and mutual funds performance measurement

  • Thomas J. WalkerEmail author
  • Kerstin Lopatta
  • Thomas KaspereitEmail author


This study explores whether corporate sustainability is a relevant factor in multifactor asset pricing models. It contributes to the literature on asset pricing, as well as to the literature that examines how sustainability impacts capital markets, by constructing a new factor that captures differences in the returns of sustainable and non-sustainable firms. Specifically, it examines whether an additional sustainability factor has explanatory power in asset pricing models that include size, book-to-market equity, and momentum factors. This research has practical implications for the performance measurement of portfolios and mutual funds that are managed in accordance with sustainability criteria in that it disentangles general stock-picking skills from the differences in returns between sustainable and non-sustainable stocks.


Asset pricing Corporate sustainability Factor models Mutual funds Performance measurement 

JEL Classification

G11 G12 



We thank the anonymous referee for his/her positive appreciation of our work and very useful comments. We gratefully acknowledge the financial assistance provided by the David O’Brien Centre for Sustainable Enterprise at Concordia University and the German Academic Exchange Service (DAAD).


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Copyright information

© Swiss Society for Financial Market Research 2014

Authors and Affiliations

  1. 1.Department of FinanceJohn Molson School of Business (Concordia University)MontrealCanada
  2. 2.Department Business Administration, Economics and Law (Accounting and Corporate Governance)University of OldenburgOldenburgGermany

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