Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review

Oscar De la Torre Torres () and Isabel Martínez Torre Enciso Mª
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Isabel Martínez Torre Enciso Mª: Universidad Autónoma de Madrid, Spain

Contaduría y Administración, 2017, vol. 62, issue 1, 222–238

Abstract: The present paper continues the firsts reviews made to socially responsible investment in Mexico. We extended these reviews by using a non-parametric multivariate equality test, along with a multi-factor market cap model, and a Monte Carlo simulation. Our results show that the IPCS index, the IPCcomp and the IPC have a statistically equal mean-variance performance, suggesting that this sort of investment style (SRI) is a good substitute of the broad market investment style in the long term. Among the causes of this finding is the fact that the IPCS and the IPCcomp indexes have almost the same large and small cap stock concentration and the IPC index (a large-cap one) is not as diversified and mean-variance efficient as the former.

Keywords: Portfolio selection; Asset pricing; Financial forecasting and simulation; Socially responsible investment; Performance of socially responsible indexes (search for similar items in EconPapers)
JEL-codes: G11 G17 G23 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:61:y:2016:i:3:p:222-238

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