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Portfolio instability and socially responsible investment:experiments with financial professionals and students

Olga Tatarnikova, Sebastien Duchene (), Patrick Sentis () and Marc Willinger
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Olga Tatarnikova: ESSCA Research Lab - ESSCA - Ecole Supérieure des Sciences Commerciales d'Angers, CEE-M - Centre d'Economie de l'Environnement - Montpellier - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Montpellier - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement - UM - Université de Montpellier
Sebastien Duchene: Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School
Patrick Sentis: MRM - Montpellier Research in Management - UPVD - Université de Perpignan Via Domitia - UM - Université de Montpellier

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Abstract: Efficiency of SRI portfolios is commonly assessed based on an inconclusive risk-return ratio. Wepropose to approach the efficiency of portfolios with the notion of instability. Unstable portfolios arecharacterized by higher transaction costs and human resources costs that justify search for more stableportfolios. We examine the instability of SRI portfolios from the perspective of behavioral finance. Basedon data from incentivized experiments with 153 financial professionals and 233 students, we compare abaseline treatment to a ranking treatment in which participants received feedback regarding their aver-age investment in SRI assets. We found that SRI portfolios had significantly lower instability: portfolioswith a majority of SRI shares exhibited less instability in both treatments compared to conventionalportfolios. Moreover, in the ranking treatment subjects invested more in SRI assets than in the baseline.In addition, the experiment revealed the convergence of professionals' and students' behavioral patterns.

Keywords: behavioral finance; experimental economics; financial asset markets; portfolio instability; socially responsible investment (search for similar items in EconPapers)
Date: 2022-12-21
New Economics Papers: this item is included in nep-exp
Note: View the original document on HAL open archive server: https://hal.inrae.fr/hal-03909118
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Related works:
Journal Article: Portfolio instability and socially responsible investment: Experiments with financial professionals and students (2023) Downloads
Working Paper: Portfolio instability and socially responsible investment: Experiments with financial professionals and students (2023)
Working Paper: Portfolio instability and socially responsible investment:experiments with financial professionals and students (2022) Downloads
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