Do socially responsible investment indexes outperform conventional indexes?
Date
2012
Authors
Managi, Shunsuke
Okimoto, Tatsuyoshi
Matsuda, Akimi
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Routledge, Taylor & Francis Group
Abstract
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.
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Keywords
Keywords: environmental economics; investment; Markov chain; maximum likelihood analysis; numerical model; stock market; Japan; United Kingdom; United States bear and bull market; Markov switching model; maximum likelihood estimations; return and volatilities; socially responsible investments
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Source
Applied Financial Economics
Type
Journal article
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2037-12-31
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