IDEAS home Printed from https://ideas.repec.org/a/taf/jbemgt/v15y2014i5p1034-1053.html
   My bibliography  Save this article

Searching for the most profitable and sustainable investment strategy: evidence from sovereign bond funds

Author

Listed:
  • Maria Vargas
  • Ruth Vicente
  • Fernando Muñoz

Abstract

The aim of this study is to provide the sovereign bond fund investor with a guide to finding the most profitable and sustainable investment strategy. For this purpose, a Global Sustainable Competitiveness Index is applied to a sample of 48 funds.We have conducted a best-in-class analysis, and our evidence supports the idea that the best strategy consists of investing in funds representing high GDP-per-capita countries, and registering the best-in-class sustainable performance scores.Additionally, other useful findings are that the screening of the funds is beneficial with respect to sustainable performance, and that there is no strong relationship between sustainability and GDP per capita.

Suggested Citation

  • Maria Vargas & Ruth Vicente & Fernando Muñoz, 2014. "Searching for the most profitable and sustainable investment strategy: evidence from sovereign bond funds," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(5), pages 1034-1053, November.
    • Handle: RePEc:taf:jbemgt:v:15:y:2014:i:5:p:1034-1053
    DOI: 10.3846/16111699.2012.745818
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.3846/16111699.2012.745818
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.3846/16111699.2012.745818?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Bastien Drut, 2010. "Sovereign Bonds and Socially Responsible Investment," Journal of Business Ethics, Springer, vol. 92(1), pages 131-145, April.
    2. Jeroen Derwall & Kees Koedijk, 2009. "Socially Responsible Fixed‐Income Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1‐2), pages 210-229, January.
    3. Darren D. Lee & Jacquelyn E. Humphrey & Karen L. Benson & Jason Y. K. Ahn, 2010. "Socially responsible investment fund performance: the impact of screening intensity," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(2), pages 351-370, June.
    4. Fischer, Klaus & Khoury, Nabil, 2007. "The impact of ethical ratings on Canadian security performance: Portfolio management and corporate governance implications," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 40-54, March.
    5. Jeroen Derwall & Kees Koedijk, 2009. "Socially Responsible Fixed-Income Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1-2), pages 210-229.
    6. 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.
    7. 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.
    8. Stephen Brammer & Chris Brooks & Stephen Pavelin, 2006. "Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures," Financial Management, Financial Management Association International, vol. 35(3), pages 97-116, September.
    9. 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.
    10. Bert Scholtens, 2010. "The Environmental Performance of Dutch Government Bond Funds," Journal of Business Ethics, Springer, vol. 92(1), pages 117-130, April.
    11. J. Ram Pillarisetti & Jeroen C.J.M. van den Bergh, 2008. "Sustainable Nations: What do Aggregate Indicators tell us?," Tinbergen Institute Discussion Papers 08-012/3, Tinbergen Institute.
    12. Bilbao-Terol, Amelia & Arenas-Parra, Mar & Cañal-Fernández, Verónica & Antomil-Ibias, José, 2014. "Using TOPSIS for assessing the sustainability of government bond funds," Omega, Elsevier, vol. 49(C), pages 1-17.
    13. Bert Scholtens, 2007. "Financial and Social Performance of Socially Responsible Investments in the Netherlands," Corporate Governance: An International Review, Wiley Blackwell, vol. 15(6), pages 1090-1105, November.
    14. Kempf, Alexander & Osthoff, Peer, 2007. "The effect of socially responsible investing on portfolio performance," CFR Working Papers 06-10, University of Cologne, Centre for Financial Research (CFR).
    15. Bert Scholtens, 2006. "Finance as a Driver of Corporate Social Responsibility," Journal of Business Ethics, Springer, vol. 68(1), pages 19-33, September.
    16. 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, November.
    17. Fiala, Nathan, 2008. "Measuring sustainability: Why the ecological footprint is bad economics and bad environmental science," Ecological Economics, Elsevier, vol. 67(4), pages 519-525, November.
    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


    Cited by:

    1. Dan Daugaard, 2020. "Emerging new themes in environmental, social and governance investing: a systematic literature review," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1501-1530, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bilbao-Terol, Amelia & Arenas-Parra, Mar & Cañal-Fernández, Verónica & Antomil-Ibias, José, 2014. "Using TOPSIS for assessing the sustainability of government bond funds," Omega, Elsevier, vol. 49(C), pages 1-17.
    2. Luluk Widyawati, 2020. "A systematic literature review of socially responsible investment and environmental social governance metrics," Business Strategy and the Environment, Wiley Blackwell, vol. 29(2), pages 619-637, February.
    3. Bilbao-Terol, Amelia & Arenas-Parra, Mar & Cañal-Fernández, Verónica, 2016. "A model based on Copula Theory for sustainable and social responsible investments," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 19(1), pages 55-76.
    4. Bert Scholtens, 2010. "The Environmental Performance of Dutch Government Bond Funds," Journal of Business Ethics, Springer, vol. 92(1), pages 117-130, April.
    5. Bastien Drut, 2010. "Sovereign Bonds and Socially Responsible Investment," Journal of Business Ethics, Springer, vol. 92(1), pages 131-145, April.
    6. Luis Ferruz & Fernando Muñoz & María Vargas, 2012. "Managerial Abilities: Evidence from Religious Mutual Fund Managers," Journal of Business Ethics, Springer, vol. 105(4), pages 503-517, February.
    7. Gunther Capelle†Blancard & Stéphanie Monjon, 2014. "The Performance of Socially Responsible Funds: Does the Screening Process Matter?," European Financial Management, European Financial Management Association, vol. 20(3), pages 494-520, June.
    8. Leite, Paulo & Cortez, Maria Céu, 2014. "Style and performance of international socially responsible funds in Europe," Research in International Business and Finance, Elsevier, vol. 30(C), pages 248-267.
    9. Saiful Arefeen & Koji Shimada, 2020. "Performance and Resilience of Socially Responsible Investing (SRI) and Conventional Funds during Different Shocks in 2016: Evidence from Japan," Sustainability, MDPI, vol. 12(2), pages 1-20, January.
    10. Maretno A. Harjoto & Andreas G. F. Hoepner & Marcus A. Nilsson, 2022. "Bondholders’ returns and stakeholders’ interests," Review of Quantitative Finance and Accounting, Springer, vol. 59(4), pages 1271-1301, November.
    11. Auer, Benjamin R. & Schuhmacher, Frank, 2016. "Do socially (ir)responsible investments pay? New evidence from international ESG data," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 51-62.
    12. repec:dau:papers:123456789/7347 is not listed on IDEAS
    13. Dan Daugaard, 2020. "Emerging new themes in environmental, social and governance investing: a systematic literature review," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1501-1530, June.
    14. Guillermo Badía & Maria C. Cortez & Luis Ferruz, 2020. "Socially responsible investing worldwide: Do markets value corporate social responsibility?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 27(6), pages 2751-2764, November.
    15. Andreas G. F. Hoepner & Lisa Schopohl, 2018. "On the Price of Morals in Markets: An Empirical Study of the Swedish AP-Funds and the Norwegian Government Pension Fund," Journal of Business Ethics, Springer, vol. 151(3), pages 665-692, September.
    16. Henke, Hans-Martin, 2016. "The effect of social screening on bond mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 69-84.
    17. Ved Dilip Beloskar & Arunima Haldar & S. V. D. Nageswara Rao, 2023. "Socially responsible investments: A retrospective review and future research agenda," Business Strategy and the Environment, Wiley Blackwell, vol. 32(7), pages 4841-4860, November.
    18. Benjamin R. Auer, 2016. "Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value?," Journal of Business Ethics, Springer, vol. 135(2), pages 381-397, May.
    19. Delâtre, Chloë, 2022. "Désinvestissement des combustibles fossiles: quelles conséquences pour la gestion de portefeuille ? [Fossil fuel divestment and portfolios implications]," MPRA Paper 114633, University Library of Munich, Germany.
    20. Guillermo Badía & Luis Ferruz & Maria Céu Cortez, 2021. "The performance of social responsible investing from retail investors' perspective: international evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6074-6088, October.
    21. Riikka Sievänen & Hannu Rita & Bert Scholtens, 2017. "European Pension Funds and Sustainable Development: Trade‐Offs between Finance and Responsibility," Business Strategy and the Environment, Wiley Blackwell, vol. 26(7), pages 912-926, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jbemgt:v:15:y:2014:i:5:p:1034-1053. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/TBEM20 .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.