The stocks at stake: Return and risk in socially responsible investment

Rients Galema, Auke Plantinga and Bert Scholtens

Journal of Banking & Finance, 2008, vol. 32, issue 12, 2646-2654

Abstract: We relate US portfolio returns, book-to-market values and excess stock returns to different dimensions of socially responsible performance. We find that socially responsible investing (SRI) impacts on stock returns by lowering the book-to-market ratio and not by generating positive alphas. Our result is consistent with the theoretical work suggesting that SRI is reflected in demand differences between SRI and non-SRI stock. It also explains why so few studies are able to establish a link between alpha's and SRI.

Keywords: Financial; performance; Corporate; governance; Corporate; social; responsibility; Stakeholder; management; GMM; Risk; Return (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (265)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:32:y:2008:i:12:p:2646-2654

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