The stocks at stake: Return and risk in socially responsible investment
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.
Year of publication: |
2008
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Authors: | Galema, Rients ; Plantinga, Auke ; Scholtens, Bert |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 32.2008, 12, p. 2646-2654
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Publisher: |
Elsevier |
Keywords: | Financial performance Corporate governance Corporate social responsibility Stakeholder management GMM Risk Return |
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