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 |
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Pages (from-to) | 2646-2654 |
Number of pages | 9 |
Journal | Journal of Banking & Finance |
Volume | 32 |
Issue number | 12 |
DOIs | |
Publication status | Published - Dec-2008 |