The stocks at stake: Return and risk in socially responsible investment
AbstractWe relate US portfolio returns, book-to-market values and excess stock returns to different dimensions of socially responsible performance. We find that socially responsible investing (SRI) impacts on stock returns by lowering the book-to-market ratio and not by generating positive alphas. Our result is consistent with the theoretical work suggesting that SRI is reflected in demand differences between SRI and non-SRI stock. It also explains why so few studies are able to establish a link between alpha's and SRI.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 32 (2008)
Issue (Month): 12 (December)
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Web page: http://www.elsevier.com/locate/jbf
Financial performance Corporate governance Corporate social responsibility Stakeholder management GMM Risk Return;
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