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Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review

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  • Oscar De la Torre Torres

    (Universidad Michoacana de San Nicolás de Hidalgo, Mexico)

  • Mª Isabel Martínez Torre Enciso

    (Universidad Autónoma de Madrid, Spain)

Abstract

The present paper continues the firsts reviews made to socially responsible investment in Mexico. We extended these reviews by using a non-parametric multivariate equality test, along with a multi-factor market cap model, and a Monte Carlo simulation. Our results show that the IPCS index, the IPCcomp and the IPC have a statistically equal mean-variance performance, suggesting that this sort of investment style (SRI) is a good substitute of the broad market investment style in the long term. Among the causes of this finding is the fact that the IPCS and the IPCcomp indexes have almost the same large and small cap stock concentration and the IPC index (a large-cap one) is not as diversified and mean-variance efficient as the former.

Suggested Citation

  • Oscar De la Torre Torres & Mª Isabel Martínez Torre Enciso, 2017. "Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review," Contaduría y Administración, Accounting and Management, vol. 62(1), pages 222-238, Enero-Mar.
    • Handle: RePEc:nax:conyad:v:61:y:2016:i:3:p:222-238
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    References listed on IDEAS

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    Cited by:

    1. Jesus Barrena-Martinez & Macarena López-Fernández & Pedro M. Romero-Fernandez, 2018. "Drivers and Barriers in Socially Responsible Human Resource Management," Sustainability, MDPI, vol. 10(5), pages 1-14, May.

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    More about this item

    Keywords

    Portfolio selection; Asset pricing; Financial forecasting and simulation; Socially responsible investment; Performance of socially responsible indexes;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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