Advanced Search
MyIDEAS: Login

Sovereign Bonds and Socially Responsible Investment

Contents:

Author Info

  • Bastien Drut

    ()

Abstract

While the literature on Socially Responsible Investment (SRI) is mainly focused on the stock market, little attention has been paid to SRI in sovereign bonds. This paper investigates the effect of taking into account socially responsible indicators for countries, the Vigeo Sustainability Ratings (VSR), on the efficient frontier formed with the sovereign bonds of twenty developed countries. It shows that it is possible to increase the portfolios’ VSR rating without significantly harming the risk/return relationship. The analysis then focuses on specific ratings relating to a) the environment, b) social concerns, and c) public governance. The results suggest that socially responsible portfolios of sovereign bonds can be built without a significant diversification cost.

(This abstract was borrowed from another version of this item.)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10.1007/s10551-010-0638-3
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Springer in its journal Journal of Business Ethics.

Volume (Year): 92 (2010)
Issue (Month): 1 (April)
Pages: 131-145

as in new window
Handle: RePEc:kap:jbuset:v:92:y:2010:i:1:p:131-145

Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=100281

Related research

Keywords: extra-financial ratings; mean–variance efficiency; portfolio selection; responsible investing; socially responsible investment; sovereign bonds; spanning tests;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Nijman, T.E. & Roon, F.A. de, 2001. "Testing for mean-variance spanning: A survey," Open Access publications from Tilburg University urn:nbn:nl:ui:12-87531, Tilburg University.
  2. Basak, Gopal & Jagannathan, Ravi & Sun, Guoqiang, 2002. "A direct test for the mean variance efficiency of a portfolio," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1195-1215, July.
  3. Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "The price of ethics and stakeholder governance: The performance of socially responsible mutual funds," Journal of Corporate Finance, Elsevier, vol. 14(3), pages 302-322, June.
  4. Derwall, Jeroen & Guenster, Nadja & Bauer, Rob & Koedijk, Kees, 2005. "The eco-efficiency premium puzzle," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19331, Maastricht University.
    • Derwall, J.M.M. & Günster, N.K. & Bauer, R. & Koedijk, C.G., 2004. "The Eco-Efficiency Premium Puzzle," Research Paper ERS-2004-043-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
  5. Alexander Kempf & Peer Osthoff, 2007. "The Effect of Socially Responsible Investing on Portfolio Performance," European Financial Management, European Financial Management Association, vol. 13(5), pages 908-922.
  6. Paul Ehling & Sofia Brito Ramos, 2005. "Geographic versus industry diversification - constraints matter," Working Paper Series 425, European Central Bank.
  7. Mats Hansson & Eva Liljeblom & Anders Loflund, 2009. "International bond diversification strategies: the impact of currency, country, and credit risk," European Journal of Finance, Taylor and Francis Journals, vol. 15(5-6), pages 555-583.
  8. Bauer, Rob & Koedijk, Kees & Otten, Roger, 2005. "International evidence on ethical mutual fund performance and investment style," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1751-1767, July.
  9. Derwall, Jeroen & Koedijk, Kees, 2009. "Socially responsible fixed-income funds," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19771, Maastricht University.
  10. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 537-572.
  11. Michael Connolly, 2007. "Measuring the Effect of Corruption on Sovereign Bond Ratings," Journal of Policy Reform, Taylor and Francis Journals, vol. 10(4), pages 309-323.
  12. Bauer, Rob & Koedijk, Kees & Otten, Róger, 2005. "International evidence on ethical mutual fund performance and investment style," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19330, Maastricht University.
  13. Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 1998. "Testing for mean-variance spanning with short sales constraints and transaction costs: The case of emerging markets," Discussion Paper 1998-07, Tilburg University, Center for Economic Research.
  14. Paldam, Martin, 2002. "The cross-country pattern of corruption: economics, culture and the seesaw dynamics," European Journal of Political Economy, Elsevier, vol. 18(2), pages 215-240, June.
  15. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
  16. Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "Socially responsible investments: Institutional aspects, performance, and investor behavior," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1723-1742, September.
  17. Best, Michael J. & Grauer, Robert R., 1990. "The efficient set mathematics when mean-variance problems are subject to general linear constraints," Journal of Economics and Business, Elsevier, vol. 42(2), pages 105-120, May.
  18. Michael Connolly, 2007. "Measuring the Effect of Corruption on Sovereign Bond Ratings," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 10(4), pages 309-323.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Bastien Drut, 2009. "Nice but cautious guys: The cost of responsible investing in the bond markets," Working Papers CEB 09-034.RS, ULB -- Universite Libre de Bruxelles.
  2. Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2012. "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky," Working Papers CEB 12-003, ULB -- Universite Libre de Bruxelles.
  3. Bert Scholtens, 2010. "The Environmental Performance of Dutch Government Bond Funds," Journal of Business Ethics, Springer, vol. 92(1), pages 117-130, April.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:kap:jbuset:v:92:y:2010:i:1:p:131-145

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.