Exploring Arbitrage Strategies in Corporate Social Responsibility Companies

Estefanía Montoya-Cruz, José Pedro Ramos-Requena, Juan Trinidad-Segovia () and Miguel Ángel Sánchez-Granero
Additional contact information
Estefanía Montoya-Cruz: Departamento de Economía y Empresa, Universidad de Almería, Carretera Sacramento, s/n, La Cañada de San Urbano, 04120 Almería, Spain
José Pedro Ramos-Requena: Departamento de Economía y Empresa, Universidad de Almería, Carretera Sacramento, s/n, La Cañada de San Urbano, 04120 Almería, Spain
Miguel Ángel Sánchez-Granero: Departamento de Matemáticas, Universidad de Almería, Carretera Sacramento, s/n, La Cañada de San Urbano, 04120 Almería, Spain

Sustainability, 2020, vol. 12, issue 16, 1-17

Abstract: Today, Socially Responsible financial investment has taken on particular importance. Investors normally select their most profitable investments, but over the years they have appreciated that companies develop Socially Responsible policies. Financial indices have also created Socially Responsible versions. In this paper, we run a statistical arbitrage technique known as Pairs Trading using stocks of the FTSE4GOOD Socially Responsible Index. Different strategies will be tested to demonstrate that there are no significant differences between the performance of the portfolio composed by Corporate Social Responsibility (CSR) stocks and those composed by ordinary stocks.

Keywords: Corporate Social Responsibility; Hurst exponent; Pairs Trading; correlation; co-movement (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.mdpi.com/2071-1050/12/16/6293/pdf (application/pdf)
https://www.mdpi.com/2071-1050/12/16/6293/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:12:y:2020:i:16:p:6293-:d:394618

Access Statistics for this article

Sustainability is currently edited by Ms. Alexandra Wu

More articles in Sustainability from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().