BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Author
Brzeszczyński Janusz (Heriot-Watt University, Edinburgh; Uniwersytet Łódzki)
Title
Modele wyceny aktywów kapitałowych z czynnikami etycznymi
Asset Pricing Models with Ethical Factors
Source
Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia, 2013, nr 59, s. 399-408, bibliogr. 29 poz.
Keyword
Wycena aktywów kapitałowych, Społeczna odpowiedzialność biznesu, Etyka działalności gospodarczej, Model wyceny aktywów kapitałowych, Estymacja
Capital asset valuation, Corporate Social Responsibility (CSR), Business activity ethics, Capital Asset Pricing Model (CAPM), Estimation
Note
streszcz., summ..
Abstract
Wzrost zainteresowania zagadnieniami związanymi z etyką na rynku finansowym, inwestycjami społecznie odpowiedzialnymi oraz nadzorem i ładem korporacyjnym w spółkach giełdowych w ostatnich latach spowodował potrzebę rozbudowy modeli wyceny aktywów kapitałowych w kierunku obejmującym zmienne wyrażające czynniki natury etycznej. Artykuł prezentuje modele 5- oraz 6-czynnikowe ze zmiennymi etycznymi, będące rozwinięciem klasycznych modeli CAPM, Famy-Frencha i Carharta oraz omawia zagadnienia ekonometryczne związane z estymacją ich parametrów. (abstrakt oryginalny)

Recent increase in the interest in ethical issues on financial market, socially responsible investments as well as corporate governance considerations, has triggered the need to expand the asset pricing models by including additional ethical factors. This article presents 5- and 6-factor models with ethical variables, which constitute an extension of traditional CAPM, Fama-French and Carhart models and discusses some econometric issues related to the estimation of their parameters. (original abstract)
Accessibility
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Szczecin University Main Library
Full text
Show
Bibliography
Show
  1. Ali S., Szyszka A.: Ethical Factors in Capital Market: Socially Responsible versus Unscrupulous Investment, "Argumenta Oeconomica" 2006, 18 (1-2).
  2. Brzeszczyński J., Gajdka J., Schabek T.: Sustainable Investing, "Polish Journal of Environmental Studies" 2009, 18 (5b).
  3. Brzeszczyński J., Kelm R.: Ekonometryczne Modele Rynków Finansowych, WIG Press, Warszawa 2002.
  4. Brzeszczyński J., McIntosh G.: Performance of Portfolios Composed of British SRI Stocks, "Journal of Business Ethics" 2013 (w druku).
  5. Carhart M.M.: On Persistence in Mutual Fund Performance, "Journal of Finance" 1997, 52 (1).
  6. Clarkson M.: A Stakeholder Framework for Analyzing and Evaluating Corporate Social Performance, "Academy of Management Review" 1995, 20 (1).
  7. Consolandi C., Jaiswal-Dale A., Poggiani E., Vercelli A.: Global Standards and Ethical Stock Indexes: The Case of the Dow Jones Sustainability Stoxx Index, "Journal of Business Ethics" 2008, 87 (1).
  8. Davis K.: The Case for and Against Business Assumption of Social Responsibilities, "Academy of Management Journal" 1973, 16 (2).
  9. Derwall J., Guenster N., Bauer R., Koedijk K.: The Eco-efficiency Premium Puzzle, "Financial Analysts Journal" 2005, 61 (2).
  10. Edmans A.: Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices, "Journal of Financial Economics" 2011, 101 (3).
  11. Fama E.F., French K.R.: The Cross-section of Expected Returns, "Journal of Finance" 1992, 47 (2).
  12. Fama E.F., French K.R.: Common Risk Factors in the Returns on Stocks and Bonds, "Journal of Financial Economics" 1993, 33 (1).
  13. Freeman E., Evan E.: Corporate Governance: A Stakeholder Interpretation, "Journal of Behavioral Economics" 1990, 19 (4).
  14. Gil-Bazo J., Ruiz-Verdu P., Santos A.A.P.: The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies, "Journal of Business Ethics" 2010, 94 (2).
  15. Heinkel R., Kraus A., Zechner J.: The Effect of Green Investment on Corporate Behavior, "Journal of Financial and Quantitative Analysis" 2001, 36 (4).
  16. Hill C., Jones T.: Stakeholder-agency Theory, "Journal of Management Studies" 1992, 29 (2).
  17. Humphrey J.E., Lee D.D., Shen Y.: Does it Cost to be Sustainable?, "Journal of Corporate Finance" 2012, 18 (3).
  18. Jones T.: Instrumental Stakeholder Theory: A Synthesis of Ethics and Economics, "Academy of Management Review" 1995, 20 (2).
  19. Kempf A., Osthoff P.: The Effect of Socially Responsible Investing on Portfolio Performance, "European Financial Management" 2007, 13 (5).
  20. Mackey A., Mackey T.B., Barney J.B.: Corporate Social Responsibility and Firm Performance: Investor Preferences and Corporate Strategies, "Academy of Management Review" 2007, 32 (3).
  21. Margolis J., Walsh J.: Misery Loves Companies: Rethinking Social Initiatives by Business, "Administrative Science Quarterly" 2003, 48 (2).
  22. McGuire J., Sundgren A., Schneeweis T.: Corporate Social Responsibility and Firm Financial Performance, "Academy of Management Journal" 1988, 31 (4).
  23. Moskowitz M.: Choosing Socially Responsible Stocks, "Business and Society Review" 1972, 1 (1).
  24. Orlitzky M., Schmidt F., Rynes S.: Corporate Social and Financial Performance: A Meta-Analysis, "Organization Studies" 2003, 24 (3).
  25. Renneboog L., Horst J.T., Zhang C.: The Price of Ethics and Stakeholder Governance: The Performance of Socially Responsible Mutual Funds, "Journal of Corporate Finance" 2008, 14 (3).
  26. Statman M., Glushkov D.: The Wages of Social Responsibility, "Financial Analysts Journal" 2009, 65 (4).
  27. Statman M. Glushkov, D.: A Behavioral Asset Pricing Model with Social Responsibility Factors, Wharton School, University of Pennsylvania 2013 (mimeo).
  28. Ullmann A.: Data in Search of a Theory: A Critical Examination of the Relationship among Social Performance, Social Disclosure and Economic Performance of U.S. Firms, "Academy of Management Review" 1985, 10 (1-2).
  29. Waddock S., Graves S.: The Corporate Social Performance-Financial Performance Link, "Strategic Management Journal" 1997, 18 (4).
Cited by
Show
ISSN
1640-6818
1733-2842
Language
pol
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu