Do socially responsible investment indexes outperform conventional indexes?

Shunsuke Managi, Tatsuyoshi Okimoto, Akimi Matsuda

研究成果: Article査読

35 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)1511-1527
ページ数17
ジャーナルApplied Financial Economics
22
18
DOI
出版ステータスPublished - 2012 9

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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