Do socially responsible investment indexes outperform conventional indexes?

Managi, Shunsuke, Okimoto, Tatsuyoshi, & Matsuda, Akimi (2012) Do socially responsible investment indexes outperform conventional indexes? Applied Financial Economics, 22(18), pp. 1511-1527.

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Abstract

The question of whether more Socially Responsible (SR) firms outperform or underperform other conventional firms has been debated in the economic literature. In this study, using the Socially Responsible Investment (SRI) indexes and conventional stock indexes in the US, the UK and Japan, first and second moments of firm performance distributions are estimated based on the Markov Switching (MS) model. We find two distinct regimes (bear and bull) in the SRI markets as well as the stock markets for all the three countries. These regimes occur with the same timing in both types of market. No statistical difference in means and volatilities generated from the SRI indexes and conventional indexes in either region was found. Furthermore, we find strong comovements between the two indexes in both the regimes.

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10 citations in Scopus
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ID Code: 75441
Item Type: Journal Article
Refereed: Yes
Keywords: bear and bull market; Markov switching model; maximum likelihood estimations; return and volatilities; socially responsible investments
DOI: 10.1080/09603107.2012.665593
ISSN: 1466-4305
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 25 Aug 2014 02:07
Last Modified: 25 Aug 2014 23:09

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