9 December 2009

It could be third time lucky for UQ Business School researcher Darren Lee, who has again been nominated for the Australian Sustainability Awards.

Dr Lee has been nominated for his paper "Investing in High and Low-ranked Sustainability Stocks: New Evidence".

His research, conducted in collaboration with Robert Faff, of Monash University, explores the relationship between corporate social performance (CSP) and corporate financial performance (CFP).

It focused on the performance of stock portfolios.

“Our results are consistent with the ‘no-linkage’ hypothesis which argues that no significant difference in the risk-adjusted performance is expected between high and low-ranked CSP portfolios,” Dr Lee said.

Dr Lee said they also found little evidence to "suggest high or low-ranked CSP formed portfolios, irrespective of portfolio formation type, systematically differ with regard to performance, size, value / growth or momentum factors".

"The only factor other than CSP that consistently differentiates high and low-ranked CSP portfolios is market risk (i.e. beta), whereby leading CSP firms exhibit lower levels of market risk," he said.

"However, this risk element appears to be appropriately priced by the market, thereby suggesting that the US equity market is, in the main, efficient with regard to material sustainability risks and rewards."

Dr Lee will compete with another 13 nominees for the Special Award for Sustainability Research.

“I’ll just have to wait and see if I win it this time,” he said.

"However, there are some great research papers included this year and winning is not my primary concern. I am much more interested in getting the research out there and take great satisfaction in contributing to the this rapidly growing area of debate.”

The Australian Sustainability Awards will be hosted by Ethical Investor magazine in Melbourne today December 9.

Media: Darren Lee (07 3346 8048), Amanda Sproule (0435 553 225), or Cathy Stacey (0434 074 372).