Improving Diversification Opportunities for Socially Responsible Investors

María del Mar Miralles-Quirós () and José Luis Miralles-Quirós
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María del Mar Miralles-Quirós: University of Extremadura
José Luis Miralles-Quirós: University of Extremadura
Authors registered in the RePEc Author Service: José Luis Miralles Quirós

Journal of Business Ethics, 2017, vol. 140, issue 2, No 9, 339-351

Abstract: Abstract Socially responsible investment (SRI) has grown enormously and has expanded globally in recent years. It allows SRI investors to reduce their portfolio risk assumptions through international diversification. In this context, the aim of this paper is twofold (i) to examine price and volatility linkages among the most representative SRI indexes for North America, Europe, and Asia-Pacific employing a multivariate approach and (ii) to provide the out-of-sample performance of an optimal portfolio constructed on the basis of time-varying return and volatility forecasts from this specification approach. Our overall results show that using this technique, it is possible to reduce risk and out-perform the naïve rule, which is usually employed in this type of investment. These findings are relevant not only for academics but also for practitioners, especially for professional managers of SRI portfolios.

Keywords: Socially responsible investment; International diversification; Information transmission; Optimal strategy; Naïve rule; Performance evaluation (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10551-015-2691-4

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