This study investigates the portfolio performance of UN Global Compact (UNGC) Climate Change Champions (CCC), representing a fourth-generation SRI screening strategy. The research finds a positive long-term effect on portfolio performance after firms join the UNGC, with lower volatility and risk compared to competitors. This suggests a potential market mispricing of lower risk, implying standard asset pricing models may not fully account for investor aversion to climate change risk and preference for firms actively combating it. The study concludes that investing in UNGC-CCC firms carries no underperformance penalty, supporting the notion that 'doing good is good for business'.

Moses Msiska, Alex Ng, Randall K. Kimmel