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Empirical investigation of socially responsible investments in Pakistani firms using Carhart Four Factor model

Author

Listed:
  • Amna Ibrahim
  • Tahira Awan

    (International Islamic University, Islamabad)

  • Muhammad Yar Khan

    (COMSATS University, Islamabad)

Abstract

This study uses Carhart Four Factor Model to examine the impact of socially responsible investments on portfolio returns. Data has been collected from financial reports of socially responsible companies over the period 2010- 2016. The results reveal that portfolio returns are explained significantly by market, size, book to market ratio, momentum and SRI whereas stock returns are not explained by momentum and SRI. This implies that investors can opt for socially responsible investments without compromising on returns.

Suggested Citation

  • Amna Ibrahim & Tahira Awan & Muhammad Yar Khan, 2018. "Empirical investigation of socially responsible investments in Pakistani firms using Carhart Four Factor model," Business Review, School of Economics and Social Sciences, IBA Karachi, vol. 13(2), pages 51-80, July-Dece.
    • Handle: RePEc:aho:journl:v:13:y:2018:i:2:p:51-80
    as

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    File URL: https://businessreview.iba.edu.pk/articles/Carhartfourfactormodel.pdf
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