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Improving Diversification Opportunities for Socially Responsible Investors

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  • María del Mar Miralles-Quirós

    () (University of Extremadura)

  • José Luis Miralles-Quirós

    (University of Extremadura)

Abstract

Abstract Socially responsible investment (SRI) has grown enormously and has expanded globally in recent years. It allows SRI investors to reduce their portfolio risk assumptions through international diversification. In this context, the aim of this paper is twofold (i) to examine price and volatility linkages among the most representative SRI indexes for North America, Europe, and Asia-Pacific employing a multivariate approach and (ii) to provide the out-of-sample performance of an optimal portfolio constructed on the basis of time-varying return and volatility forecasts from this specification approach. Our overall results show that using this technique, it is possible to reduce risk and out-perform the naïve rule, which is usually employed in this type of investment. These findings are relevant not only for academics but also for practitioners, especially for professional managers of SRI portfolios.

Suggested Citation

  • María del Mar Miralles-Quirós & José Luis Miralles-Quirós, 2017. "Improving Diversification Opportunities for Socially Responsible Investors," Journal of Business Ethics, Springer, vol. 140(2), pages 339-351, January.
  • Handle: RePEc:kap:jbuset:v:140:y:2017:i:2:d:10.1007_s10551-015-2691-4
    DOI: 10.1007/s10551-015-2691-4
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    References listed on IDEAS

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    1. repec:spt:apfiba:v:8:y:2018:i:1:f:8_1_4 is not listed on IDEAS
    2. repec:gam:jsusta:v:11:y:2019:i:9:p:2496-:d:226775 is not listed on IDEAS

    More about this item

    Keywords

    Socially responsible investment; International diversification; Information transmission; Optimal strategy; Naïve rule; Performance evaluation;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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