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aboutarabesque partnersThe Smith School of Enterprise and the Environmentis a leading international academic programmefocused upon teaching, research, and engagementwith enterprise on climate change and long-termenvironmental sustainability. It works with socialenterprises, corporations, and governments; it seeksto encourage innovative solutions to the apparentchallenges facing humanity over the coming decades;its strengths lie in environmental economics and policy,enterprise management, and financial markets andinvestment. The School has close ties with the physicaland social sciences, including with the School ofGeography and the Environment, the EnvironmentalChange Institute, and the Saïd Business School.Arabesque Asset Management was established in June2013 through a management buy-out from Barclays BankPLC, which developed the technology from 2011 to 2013in cooperation with professors from the universitiesof Stanford, Oxford, Cambridge, Maastricht and theGerman Fraunhofer Society for the advancement ofapplied research.Arabesque offers a quantitative approach to sustainableinvesting. It combines state of the art systematicportfolio management technology with the values ofthe United Nations Global Compact, the United NationsPrinciples for Responsible Investments (UN PRI), andbalance sheet and business activity screening. Theintegration of ESG research into a sophisticated portfoliomanagement delivers a consistent outperformance.Led by founder and CEO Omar Selim, Arabesque isheadquartered in London and has a large research hubin Frankfurt, together with an Advisory Board of highlyrespected industry leaders and academics. ArabesqueAsset Management Ltd is regulated by the UK FinancialConduct Authority (FCA). Arabesque (Deutschland)GmbH is based in Frankfurt with a focus on research,programming and advisory.For further information on Arabesque’s approachto sustainable investment management pleasecontact Mr Andreas Feiner on +49 69 2474 77610 orandreas.feiner@arabesque.com
Contents1. Introduction 82. A Business Case for Corporate Sustainability 92.1 Risk 112.2 Performance 132.3 Reputation 143. Sustainability and the Cost of Capital 183.1 Sustainability and the Cost of Debt 183.2 Sustainability and the Cost of Equity 204. Sustainability and Operational Performance 254.1 Meta-Studies on Sustainability 254.2 Operational Performance and the ‘G’ Dimension 264.3 Operational Performance and the ‘E’ Dimension 274.4 Operational Performance and the ‘S’ Dimension 285. Sustainability and Stock Prices 335.1 Stock Prices and the ‘G’ Dimension 335.2 Stock Prices and the ‘E’ Dimension 345.3 Stock Prices and the ‘S’ Dimension 355.4 Stock Prices and Aggregate Sustainability Scores 366. Active Ownership 427. From the Stockholder to the Stakeholder 448. Bibliography 465
Page 1 and 2: How Sustainability Can Drive Financ
Page 3: “The report shows that shareholde
Page 7 and 8: eport HighlightsSustainability is o
Page 9 and 10: 2. A Business Casefor CorporateSust
Page 11 and 12: The materiality of environmental, s
Page 13 and 14: Neglecting sustainability issues ca
Page 15 and 16: Case Study: British PetroleumBP’s
Page 17 and 18: Table 3: Overview of studies on the
Page 20 and 21: Studies also show that credit ratin
Page 23 and 24: Table 4: Empirical studies investig
Page 25 and 26: 4. Sustainabilityand OperationalPer
Page 27 and 28: firms with staggered or classified
Page 29 and 30: SummaryIn this section, we have ana
Page 31 and 32: Table 6: continuedStudy authorsTime
Page 33 and 34: 5. Sustainability andStock PricesTh
Page 35 and 36: are less ‘eco-efficient’, 149 a
Page 37 and 38: profile are acquired, the market re
Page 39 and 40: Table 7: Empirical studies investig
Page 41 and 42: more sustainable firms remain on th
Page 43 and 44: To date, active ownership has achie
Page 45 and 46: This clear economic case for sustai
Page 47 and 48: Bauer, R., Derwall, J., & Hann, D.
Page 49 and 50: Coca-Cola Company. (2013). Setting
Page 51 and 52: European Commission. (2013b). Commi
Page 53 and 54: Hart, S. L., & Ahuja, G. (1996). Do
Page 55 and 56:
Margolis, J. D., & Walsh, J. P. (20
Page 57 and 58:
Servaes, H., & Tamayo, A. (2013). T
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