The use of the sustainable investment against the broad market one. A first test in the Mexican stock market
The present paper studies the mean–variance efficiency of the sustainable investment (SI) practice in Mexico by proving the existence of a statistical equality in the performance levels ofthe IPC sustainability (IPCS)index againstthe broad marketIPCcomp one. Using daily standard deviation and Sharpe ratio levels from November 2008 to August 2013, along with variance ratio and a one-factor CAPM spanning tests, our results showed that the SI strategy in Mexico is as mean–variance efficient as the broad market one, being a good substitute of the latter in the long term. Our results also refuted the assumption of a loss of mean–variance efficiency in the sustainable subset due to a lower diversification.
Year of publication: |
2016
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Authors: | De la Torre, Oscar ; Galeana, Evaristo ; Aguilasocho, Dora |
Published in: |
European Research on Management and Business Economics (ERMBE). - Amsterdam : Elsevier, ISSN 2444-8834. - Vol. 22.2016, 3, p. 117-123
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Publisher: |
Amsterdam : Elsevier |
Subject: | Diversification | Portfolio choice | Financial forecasting and simulation | Ethical investments | Sustainability | Diversificación | Selección de portafolios | Pronóstico y simulación financiera | Inversión ética | Sustentabilidad |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1016/j.iedee.2015.08.002 [DOI] hdl:10419/205723 [Handle] RePEc:idi:jermbe:v:22:y:2016:i:3:p:117-123 [RePEc] |
Classification: | G11 - Portfolio Choice ; G17 - Financial Forecasting ; G23 - Pension Funds; Other Private Financial Institutions |
Source: |
Persistent link: https://www.econbiz.de/10012115899
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