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

R. J. Galema; A. Plantinga; B. Scholtens

doi:10.1016/j.jbankfin.2008.06.002

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

R. J. Galema, A. Plantinga, B. Scholtens^*

^*Corresponding author voor dit werk

Economics, Econometrics and Finance

Onderzoeksoutput › Academic › peer review

454 Citaten (Scopus)

Samenvatting

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

Originele taal-2	English
Pagina's (van-tot)	2646-2654
Aantal pagina's	9
Tijdschrift	Journal of Banking & Finance
Volume	32
Nummer van het tijdschrift	12
DOI's	https://doi.org/10.1016/j.jbankfin.2008.06.002
Status	Published - dec.-2008

Keywords

Financial performance
Corporate governance
Corporate social responsibility
Stakeholder management
GMM
Risk
Return
CAPITAL-MARKET EQUILIBRIUM
MEAN-VARIANCE EFFICIENCY
GENERALIZED-METHOD
SAMPLE PROPERTIES
UNITED-STATES
SHARE PRICES
PERFORMANCE
MOMENTS
TESTS
BENEFITS

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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{\textquoteright}s and SRI.",

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author = "Galema, {R. J.} and A. Plantinga and B. Scholtens",

year = "2008",

month = dec,

doi = "10.1016/j.jbankfin.2008.06.002",

language = "English",

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journal = "Journal of Banking & Finance",

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T2 - Return and risk in socially responsible investment

AU - Galema, R. J.

AU - Plantinga, A.

AU - Scholtens, B.

PY - 2008/12

Y1 - 2008/12

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 - Financial performance

KW - Corporate governance

KW - Corporate social responsibility

KW - Stakeholder management

KW - GMM

KW - Risk

KW - Return

KW - CAPITAL-MARKET EQUILIBRIUM

KW - MEAN-VARIANCE EFFICIENCY

KW - GENERALIZED-METHOD

KW - SAMPLE PROPERTIES

KW - UNITED-STATES

KW - SHARE PRICES

KW - PERFORMANCE

KW - MOMENTS

KW - TESTS

KW - BENEFITS

U2 - 10.1016/j.jbankfin.2008.06.002

DO - 10.1016/j.jbankfin.2008.06.002

M3 - Article

SN - 0378-4266

VL - 32

SP - 2646

EP - 2654

JO - Journal of Banking & Finance

JF - Journal of Banking & Finance

IS - 12

ER -

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

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Keywords

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