1. The stocks at stake: Return and risk in socially responsible investment
- Author
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Rients Galema, Bert Scholtens, Auke Plantinga, and Research programme EEF
- Subjects
Stakeholder management ,Risk ,Economics and Econometrics ,UNITED-STATES ,GENERALIZED-METHOD ,Monetary economics ,Socially responsible investment ,Financial performance ,Return ,MOMENTS ,BENEFITS ,parasitic diseases ,Economics ,GMM ,Corporate social responsibility ,MEAN-VARIANCE EFFICIENCY ,health care economics and organizations ,Stock (geology) ,Finance ,Corporate governance ,SHARE PRICES ,business.industry ,social sciences ,PERFORMANCE ,Socially responsible investing ,SAMPLE PROPERTIES ,TESTS ,population characteristics ,Portfolio ,business ,Social responsibility ,CAPITAL-MARKET EQUILIBRIUM ,geographic locations - Abstract
We relate US portfolio returns, book-to-market values and excess stock returns to different dimensions of socially responsible performance. We find that socially responsible investing (SRI) impacts on stock returns by lowering the book-to-market ratio and not by generating positive alphas. Our result is consistent with the theoretical work suggesting that SRI is reflected in demand differences between SRI and non-SRI stock. It also explains why so few studies are able to establish a link between alpha's and SRI, We relate US portfolio returns, book-to-market values and excess stock returns to different dimensions of socially responsible performance. We find that socially responsible investing (SRI) impacts on stock returns by lowering the book-to-market ratio and not by generating positive alphas. Our result is consistent with the theoretical work suggesting that SRI is reflected in demand differences between SRI and non-SRI stock. It also explains why so few studies are able to establish a link between alpha’s and SRI.
- Published
- 2008
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