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Sovereign Bonds and Socially Responsible Investment

Author

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  • Bastien Drut

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

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.

Suggested Citation

  • Bastien Drut, 2009. "Sovereign Bonds and Socially Responsible Investment," Working Papers hal-04140896, HAL.
    • Handle: RePEc:hal:wpaper:hal-04140896
    Note: View the original document on HAL open archive server: https://hal.science/hal-04140896
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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