Do socially responsible investment indexes outperform conventional indexes?
The question of whether more Socially Responsible (SR) firms outperform or underperform other conventional firms has been debated in the economic literature. In this study, using the Socially Responsible Investment (SRI) indexes and conventional stock indexes in the US, the UK and Japan, first and second moments of firm performance distributions are estimated based on the Markov Switching (MS) model. We find two distinct regimes (bear and bull) in the SRI markets as well as the stock markets for all the three countries. These regimes occur with the same timing in both types of market. No statistical difference in means and volatilities generated from the SRI indexes and conventional indexes in either region was found. Furthermore, we find strong comovements between the two indexes in both the regimes.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 22 (2012)
Issue (Month): 18 (September)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Benson, Karen L. & Humphrey, Jacquelyn E., 2008. "Socially responsible investment funds: Investor reaction to current and past returns," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1850-1859, September.
- Maheu, John M & McCurdy, Thomas H, 2000. "Identifying Bull and Bear Markets in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 100-112, January.
- Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
- Massimo Guidolin & Stuart Hyde, 2009.
"What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 19(6), pages 463-488.
- Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis.
- Kumar, Surender & Managi, Shunsuke & Matsuda, Akimi, 2012. "Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis," Energy Economics, Elsevier, vol. 34(1), pages 215-226.
- Akira Hibiki & Shunsuke Managi, 2010. "Environmental Information Provision, Market Valuation, and Firm Incentives: An Empirical Study of the Japanese PRTR System," Land Economics, University of Wisconsin Press, vol. 86(2), pages 382-393.
- Leonardo Becchetti & Rocco Ciciretti, 2009.
"Corporate social responsibility and stock market performance,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 19(16), pages 1283-1293.
- Leonardo Becchetti & Rocco Ciciretti, 2006. "Corporate Social Responsibility and Stock Market Performance," CEIS Research Paper 79, Tor Vergata University, CEIS, revised 22 Mar 2006.
- Abagail McWilliams & Donald S. Siegel & Patrick M. Wright, 2006.
"Corporate Social Responsibility: Strategic Implications,"
Journal of Management Studies,
Wiley Blackwell, vol. 43(1), pages 1-18, 01.
- Abagail McWilliams & Donald S. Siegel & Patrick M. Wright, 2005. "Corporate Social Responsibility: Strategic Implications," Rensselaer Working Papers in Economics 0506, Rensselaer Polytechnic Institute, Department of Economics.
- Darren D. Lee & Robert W. Faff & Kim Langfield-Smith, 2009. "Revisiting the Vexing Question: Does Superior Corporate Social Performance Lead to Improved Financial Performance?," Australian Journal of Management, Australian School of Business, vol. 34(1), pages 21-49, June.
- Galema, Rients & Plantinga, Auke & Scholtens, Bert, 2008. "The stocks at stake: Return and risk in socially responsible investment," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2646-2654, December.
- Vidovic, Martina & Khanna, Neha, 2007. "Can voluntary pollution prevention programs fulfill their promises? Further evidence from the EPA's 33/50 Program," Journal of Environmental Economics and Management, Elsevier, vol. 53(2), pages 180-195, March.
- Managi, Shunsuke & Okimoto, Tatsuyoshi & Matsuda, Akimi, 2012.
"Do Socially Responsible Investment Indexes Outperform Conventional Indexes?,"
36662, University Library of Munich, Germany.
- Shunsuke Managi & Tatsuyoshi Okimoto & Akimi Matsuda, 2012. "Do socially responsible investment indexes outperform conventional indexes?," Applied Financial Economics, Taylor & Francis Journals, vol. 22(18), pages 1511-1527, September.
- Franklin Allen & Elena Carletti & Robert Marquez, 2009.
"Stakeholder Capitalism, Corporate Governance and Firm Value,"
Economics Working Papers
ECO2009/10, European University Institute.
- Allen, Franklin & Carletti, Elena & Marquez, Robert, 2007. "Stakeholder capitalism, corporate governance and firm value," CFS Working Paper Series 2007/26, Center for Financial Studies (CFS).
- Maignan, Isabelle & Hillebrand, Bas & McAlister, Debbie, 2002. "Managing Socially-Responsible Buying:: How to Integrate Non-economic Criteria into the Purchasing Process," European Management Journal, Elsevier, vol. 20(6), pages 641-648, December.
- Jennifer Huang & Kelsey D. Wei & Hong Yan, 2007. "Participation Costs and the Sensitivity of Fund Flows to Past Performance," Journal of Finance, American Finance Association, vol. 62(3), pages 1273-1311, 06.
- Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "The price of ethics and stakeholder governance: The performance of socially responsible mutual funds," Journal of Corporate Finance, Elsevier, vol. 14(3), pages 302-322, June.
- Khanna, Madhu & Quimio, Wilma Rose H. & Bojilova, Dora, 1998. "Toxics Release Information: A Policy Tool for Environmental Protection," Journal of Environmental Economics and Management, Elsevier, vol. 36(3), pages 243-266, November.
- Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "Socially responsible investments: Institutional aspects, performance, and investor behavior," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1723-1742, September.
- Konar, Shameek & Cohen, Mark A., 1997. "Information As Regulation: The Effect of Community Right to Know Laws on Toxic Emissions," Journal of Environmental Economics and Management, Elsevier, vol. 32(1), pages 109-124, January.
- Alexander Kempf & Peer Osthoff, 2008. "SRI Funds: Nomen est Omen," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9-10), pages 1276-1294.
- Okimoto, Tatsuyoshi, 2008. "New Evidence of Asymmetric Dependence Structures in International Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(03), pages 787-815, September.
- Hamilton James T., 1995. "Pollution as News: Media and Stock Market Reactions to the Toxics Release Inventory Data," Journal of Environmental Economics and Management, Elsevier, vol. 28(1), pages 98-113, January.
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:18:p:1511-1527. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.