Are socially responsible firms an asset class

Arraiano, Irene Guia; Miralles-Quirós, María del Mar; Miralles-Marcelo, José Luís

http://hdl.handle.net/10400.21/8249

Use this identifier to reference this record.

Name:	Description:	Size:	Format:
Chapter III In Memoriam Book.pdf		13.01 MB	Adobe PDF	Download

Send Feedback

Authors

Arraiano, Irene Guia

Miralles-Quirós, María del Mar

Miralles-Marcelo, José Luís

Abstract(s)

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.