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The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM

Author

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  • Yuchao Xiao

    (Deakin University)

  • Robert Faff

    (University of Queensland)

  • Philip Gharghori

    (Monash University)

  • Byoung-Kyu Min

    (University of Sydney)

Abstract

This study formulates a two-factor empirical model under the intertemporal CAPM framework to evaluate the cross-sectional implications of socially responsible investments in the US equity market. Our results show that socially responsible investments have no asset pricing impact on the US market. We argue that this ‘no financial impact’ finding indicates that investors will not be disadvantaged financially by investing in socially responsible funds or corporations.

Suggested Citation

  • Yuchao Xiao & Robert Faff & Philip Gharghori & Byoung-Kyu Min, 2017. "The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM," Journal of Business Ethics, Springer, vol. 146(2), pages 353-364, December.
    • Handle: RePEc:kap:jbuset:v:146:y:2017:i:2:d:10.1007_s10551-015-2894-8
    DOI: 10.1007/s10551-015-2894-8
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    References listed on IDEAS

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    2. Ahmed, Walid M.A. & Sleem, Mohamed A.E., 2023. "Short- and long-run determinants of the price behavior of US clean energy stocks: A dynamic ARDL simulations approach," Energy Economics, Elsevier, vol. 124(C).
    3. Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2018. "Sustainability and Ethics in the Process of Price Determination in Financial Markets: A Conceptual Analysis," Sustainability, MDPI, vol. 10(5), pages 1-24, May.
    4. Iván Arribas & María Dolores Espinós-Vañó & Fernando García & Paula Beatriz Morales-Bañuelos, 2019. "The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices," Sustainability, MDPI, vol. 11(7), pages 1-14, April.
    5. Andrikopoulos, Andreas, 2020. "Delineating social finance," International Review of Financial Analysis, Elsevier, vol. 70(C).
    6. Sangki Lee & Insu Kim & Chung-hun Hong, 2019. "Who Values Corporate Social Responsibility in the Korean Stock Market?," Sustainability, MDPI, vol. 11(21), pages 1-14, October.

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