Data from: Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets

Published: 1 September 2019| Version 1 | DOI: 10.17632/k2v57kf6mp.1
Contributors:
Felipe Arias Fogliano de Souza Cunha,
Erick de Oliveira,
Renato Orsato,
Marcelo Cabus Klotzle,
Fernando Luiz Cyrino Oliveira,
Rodrigo Caiado

Description

Supporting information related to the manuscript “Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets”. The “Supplementary information (database).xlsx” file summarizes the manuscript related data and provides step-by-step procedures to collect the original series and make the necessary transformations for subsequent (financial performance) analysis. The database comprises daily US$ prices of five sustainability indices (and of five market portfolios, used as benchmarks for the sustainability indices) and the risk-free rate, represented by the 4-week US Treasury bill (T-bill) rate, from January 1st 2013 to December 31st 2018. The file also provides the probabilities of the assessed indices’ returns falling between -1.0% and 1.0%, as discussed in Section 4.2 of the manuscript.

Files

Steps to reproduce

Please refer to the first sheet of the file “Supplementary information (database).xlsx” for step-by-step procedures on how to collect the original series and make the necessary transformations for subsequent (financial performance) analysis.

Institutions

Finep, Pontificia Universidade Catolica do Rio de Janeiro Centro Tecnico Cientifico, Fundacao Getulio Vargas Escola de Administracao de Empresas de Sao Paulo

Categories

Sustainable Development, Sustainability, Financial Analysis, Stock Exchange

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