The stocks at stake: Return and risk in socially responsible investment

Rients Galema; Auke Plantinga; Bert Scholtens

doi:10.1016/j.jbankfin.2008.06.002

The stocks at stake: Return and risk in socially responsible investment

Rients Galema, Auke Plantinga, Bert Scholtens^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

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.

Original language	English
Pages (from-to)	2646-2654
Number of pages	9
Journal	Journal of Banking and Finance
Volume	32
Issue number	12
DOIs	https://doi.org/10.1016/j.jbankfin.2008.06.002
Publication status	Published - Dec 2008
Externally published	Yes

Keywords

Corporate governance
Corporate social responsibility
Financial performance
GMM
Return
Risk
Stakeholder management

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.jbankfin.2008.06.002

Cite this

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title = "The stocks at stake: Return and risk in socially responsible investment",

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.",

keywords = "Corporate governance, Corporate social responsibility, Financial performance, GMM, Return, Risk, Stakeholder management",

author = "Rients Galema and Auke Plantinga and Bert Scholtens",

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AU - Galema, Rients

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AU - Scholtens, Bert

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N2 - 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.

AB - 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.

KW - Corporate governance

KW - Corporate social responsibility

KW - Financial performance

KW - GMM

KW - Return

KW - Risk

KW - Stakeholder management

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JF - Journal of Banking and Finance

IS - 12

ER -

The stocks at stake: Return and risk in socially responsible investment

Abstract

Keywords

UN SDGs

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