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Advisor(s)
Abstract(s)
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.
Description
Comunicação em Congresso
Keywords
Performance Risk Socially responsible firms