Nice but cautious guys: The cost of responsible investing in the bond markets

Bastien Drut

No 09-034.RS, Working Papers CEB from ULB -- Universite Libre de Bruxelles

Abstract: The aim of this paper is to measure the cost of investing responsibly for different risk aversion levels by taking the example of green sovereign bond portfolios. We show that for developed markets, the cost of being a nice guy is lower if you are cautious (i.e. a higher level of risk aversion) while this is the contrary for emerging markets. It implies that managers of Socially Responsible Investment (SRI) funds should gauge investor’s risk aversion prior to evaluating the “SRI cost”. The SRI cost is zero in some cases.

Keywords: Portfolio Selection; Socially Responsible Investment; Risk Aversion; Environmental Performance Index; Sovereign Bonds. (search for similar items in EconPapers)
JEL-codes: G11 G15 Q59 (search for similar items in EconPapers)
Pages: 12 p.
Date: 2009
New Economics Papers: this item is included in nep-ene, nep-env and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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