Do Socially Responsible Investment Indexes Outperform Conventional Indexes?

Shunsuke Managi, Tatsuyoshi Okimoto and Akimi Matsuda ()

MPRA Paper from University Library of Munich, Germany

Abstract: The question of whether more socially responsible (SR) firms outperform or underperform other conventional firms has been debated in the economic literature. In this study, using the socially responsible investment (SRI) indexes and conventional stock indexes in the US, the UK, and Japan, first and second moments of firm performance distributions are estimated based on the Markov switching model. We find two distinct regimes (bear and bull) in the SRI markets as well as the stock markets for all three countries. These regimes occur with the same timing in both types of market. No statistical difference in means and volatilities generated from the SRI indexes and conventional indexes in either region was found. Furthermore, we find strong comovements between the two indexes in both regimes.

Keywords: Socially responsible investments; Markov switching model; Maximum likelihood estimations; Return and volatilities; Bear and bull market (search for similar items in EconPapers)
JEL-codes: G15 Q00 Q56 (search for similar items in EconPapers)
Date: 2012-02-14
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Citations: View citations in EconPapers (43)

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Journal Article: Do socially responsible investment indexes outperform conventional indexes? (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:36662

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