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| Tekijä: | Kempf, A. Osthoff, P. |
| Otsikko: | The effect of socially responsible investing on portfolio performance |
| Lehti: | European Financial Management
2007 : NOV, VOL. 13:5, p. 908-922 |
| Asiasana: | social responsibility investment trading strategy portfolio management |
| Vapaa asiasana: | portfolio performance |
| Kieli: | eng |
| Tiivistelmä: | In this study, a simple trading strategy is implemented based on socially responsible (henceforth as: s-r.) ratings (here as: rts.) from the KLD Research & Analytics: Buy stocks with high s-r. rts. and sell stocks with low s-r. rts. This strategy is found to lead to high abnormal returns (as: abn-rts.) of up to 8.7 percent per year. The maximum abn-rts. are reached with investors employing the best-in-class screening approach, using a combination of several s-r. screens, and restricting themselves to stocks with extreme s-r. rts. The abn-rts. remain significant even after taking into account reasonable transaction costs. |
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