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 | |
| Publication status | Published - Dec 2008 |
| Externally published | Yes |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 12 Responsible Consumption and Production
Keywords
- Corporate governance
- Corporate social responsibility
- Financial performance
- GMM
- Return
- Risk
- Stakeholder management
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