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Do socially responsible investment indexes outperform conventional indexes?

Managi, Shunsuke; Okimoto, Tatsuyoshi; Matsuda, Akimi


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...[Show more]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
Source: Applied Financial Economics
DOI: 10.1080/09603107.2012.665593


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