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The effect of socially responsible investing on portfolio performance

Kempf, Alexander; Osthoff, Peer - 2007 - First Version: September 2005, This Version: May 2007

More and more investors apply socially responsible screens when building their stock portfolios. This raises the question whether these investors can increase their performance by incorporating such screens into their investment process. To answer this question we implement a simple trading...

Persistent link: https://www.econbiz.de/10009525983

Socially Responsible Investing and the Performance of European Bond Portfolios

Pereira, Patrícia - 2018

This paper investigates the performance of socially screened bond portfolios of 189 Eurozone companies between 2003 and 2016. Bond portfolios are formed on the basis of an aggregate measure of corporate social responsibility (CSR) as well as on specific dimensions of CSR: Environment, Social and...

Persistent link: https://www.econbiz.de/10012907556

ESG : Alpha or Duty

Kumar, Dr. Rajnish - 2018

This paper examines information content of Environment, Social and Governance (ESG) from factor exposure perspective. We use integration approach of ESG in portfolio construction by using four broader MSCI USA ESG indices. The analysis has been using risk-return, CAPM, Fama-French three factors,...

Persistent link: https://www.econbiz.de/10012908726

DEA Portfolio Modeling - The Case of Socially Responsible Investing

Gasser, Stephan M. - 2018

In this paper, we expand the literature on multi-criteria portfolio modeling for social responsible investments using multi-directional efficiency analysis (MEA). We apply a positive screening according to MEA efficiency scores, but also exploit the information contained in the efficiency score...

Persistent link: https://www.econbiz.de/10012935698

Socially Responsible Investment Portfolios : Does the Optimization Process Matter?

Oikonomou, Ioannis - 2018

Investment (SRI) portfolios. Corporate Social Performance (CSP) scores are price sensitive information that is subject to … considerable estimation risk. Therefore, uncertainty in the input parameters is greater for SRI portfolios than conventional … portfolios, and this affects the selection of the appropriate optimization method. We form SRI portfolios based on six different …

Persistent link: https://www.econbiz.de/10012936885

A Measure for the Diversification Trade-Off in Socially Responsible Investments

Pizzutilo, Fabio - 2020

Socially responsible investing (SRI) is considered to a greater extent by investors wishing to avoid their savings … being used in “unsocial” businesses. Essentially there are two main types of SRI strategy: negative screening and positive …-negligible drawback of SRI is that it is not possible completely to diversify the unsystematic risk of the shares in the portfolio …

Persistent link: https://www.econbiz.de/10012855067

Socially Responsible Investing - An Emerging Concept in Investment Management

Tripathi, Vanita - 2015

Socially Responsible Investing (SRI), which integrates social and environmental criteria into traditional investment … also expect that for SRI/green investment promotion, more and more socially responsible mutual funds or green mutual funds …

Persistent link: https://www.econbiz.de/10013023440

ESG for All? The Impact of ESG Screening on Return, Risk and Diversification

Verheyden, Tim - 2016

A large body of research has documented a positive relationship between different measures of sustainability — such as indicators of employee satisfaction and effective corporate governance — and corporate financial performance. Nevertheless, many investors still struggle to quantify the...

Persistent link: https://www.econbiz.de/10012983830

ESG screening in the fixed-income universe

Alessandriniy, Fabio; Baptista Balula, David; Jondeau, Eric - 2021

This paper evaluates the impact of a screening process based on Environment, Social, and Governance (ESG) scores for an otherwise passive portfolio of investment-grade corporate bonds. The main result is that this filtering leads to a substantial improvement of the targeted ESG score without...

Persistent link: https://www.econbiz.de/10012800004

Optimal ESG Portfolios : Which ESG Ratings to Use?

Schmidt, Anatoly B.; Zhang, Xu - 2021

The idea behind the optimal ESG portfolio (OESGP) is to expand the mean variance theory by adding the portfolio ESG value (PESGV) multiplied by the ESG strength parameter γ (which is investor’s choice) to the minimizing objective function (Pederson et al., 2019; Schmidt, 2020). PESGV is assumed...

Persistent link: https://www.econbiz.de/10013222555