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Browsing by Author "Arraiano, Irene Guia"

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  • Are socially responsible firms an asset class
    Publication . Arraiano, Irene Guia; Miralles-Quirós, María del Mar; Miralles-Marcelo, José Luís
    Socially Responsible Investment (SRI) has grown enormously in recent years. In this context, the aim of this study is to examine whether this kind of firms are "an asset class" in European markets. To that end, we analyze the risk-adjusted returns and risk sensibilities of these firms in ten markets over the 2001-2013 period considering three alternative criteria. Our overall results show that socially responsible firms are an asset class in all markets analyzed with all criteria. However, our results reveal the existence of market singularities that should be considered in future research, especially between the German and Nordic markets.
    2015-11Book part Restricted access Show more
  • The value relevance of GRI reports in the Portuguese stock market
    Publication . Arraiano, Irene Guia; Miralles-Quirós, Maria del Mar
    Socially Responsible Investment has grown enormously and the publication of reports has increased in developed economies in recent years. The fact that this type of reporting is on a voluntary basis in several countries raises questions about whether stock markets investors would take these reports into consideration. This study attempts to address this question, drawing on a sample of 46 firms listed on the Portuguese stock market over the 2005-2015 period. To that end, we construct a portfolio selecting the socially responsible firms rated by Global Reporting Initiative (GRI) annual reports and consider the market portfolio as a benchmark. We analyse the risk-adjusted returns and systematic risk sensibilities of these firms applying the classical market model. For robustness, a spanning test is realized. Our results support that the investment in socially responsible firms in the Portuguese stock market leads to higher returns assuming less systematic risk. These results are important for investors as well as academics.
    2017-10Conference object Open access Show more