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  • Writer's pictureGustavo Bernal Torres

A Sustainable Capital Asset Pricing Model (S-CAPM)

Evidence from Environmental Integration and Sin Stock Exclusion.

  • This paper shows how sustainable investing—through the joint practice of exclusionary screening and environmental, social, and governance (ESG) integration—affects asset returns.

  • The author characterizes two exclusion premia generalizing Merton’s (1987) premium on neglected stocks and a taste premium that clarifies the relationship between ESG and financial performance. The author estimates and explains the dynamics of these premia.



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