Do socially responsible investment indexes outperform conventional indexes?

Shunsuke Managi, Tatsuyoshi Okimoto, Akimi Matsuda

Research output: Contribution to journalArticlepeer-review

31 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)1511-1527
Number of pages17
JournalApplied Financial Economics
Issue number18
Publication statusPublished - 2012 Sep


  • Markov switching model
  • bear and bull market
  • maximum likelihood estimations
  • return and volatilities
  • socially responsible investments

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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