Nadja Guenster is an assistant professor of Finance at Maastricht University and a visiting scholar at the Haas-Center for Responsible Business at UC Berkeley. She conducts research in the areas of socially responsible investing, CSR, corporate governance, and asset price bubbles. Nadja obtained a Ph.D. from RSM Erasmus University. Her studies have been published in various practitioner-oriented outlets, such as the Financial Analysts Journal, European Financial Management and the Journal of Asset Management. Her research has been awarded the 2005 Moskowitz Prize for best quantitative study in the SRI domain, and the 2005 European Finance & Sustainability Research Award, and the 2011 Crowell Second Prize by PanAgora Asset Management.
The economic value of corporate eco-efficiency
This strong paper finds that environmental information, as contained in the Innovest environmental rating system, was related to firm financial performance and mattered for firm valuation during the 1996-2002 time period. The sample consists of companies covered by Innovest: 154 names at the end of December 1996, rising to 409 in September 2002. The authors create a numerical version of the Innovest rating system, and then match the Innovest ratings to the CRSP stock price and Compustat financial databases. Importantly, this helps control for survivor bias. The resulting database includes “not only firms that were covered by Innovest recently, but also those which disappeared over time, for instance, due to merger or bankruptcy.”
The eco-efficiency premium puzzle
This study examines the performance impact of using environmental ratings (from the research firm Innovest) as part of an active management strategy. The authors construct two matched value-weighted portfolios of U.S. equities, one consisting of firms with high environmental ratings, the other consisting firms with low ones. Portfolios are constructed using a “best-in-class” approach — unlike most currently marketed social investment portfolios, the basis for inclusion/exclusion is relative standing within the industry, not a fixed statistical test or exclusion criteria.