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The stocks at stake: Return and risk in socially responsible investment

  • Galema, Rients
  • Plantinga, Auke
  • Scholtens, Bert

We 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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File URL: http://www.sciencedirect.com/science/article/B6VCY-4SYTC7W-3/2/a8731fc3b7b9cfa86eca18768d671009
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 32 (2008)
Issue (Month): 12 (December)
Pages: 2646-2654

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Handle: RePEc:eee:jbfina:v:32:y:2008:i:12:p:2646-2654
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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