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  • Socially Responsible Investments: Do They Make A Difference to the Systematic Risk of Australian Superannuation Funds?

    Author(s)
    Wong, Victor
    Roca, Eduardo
    Tularam, Gurudeo
    Griffith University Author(s)
    Roca, Eduardo D.
    Tularam, Gurudeo A.
    Wong, Victor
    Year published
    2007
    Metadata
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    Abstract
    An increasing proportion of Australian superannuation funds are being placed in socially responsible investments (SRI). Existing studies show that SRI funds perform similarly to non-SRI funds. However, these studies have mainly focused on a comparison of returns. Hence, we examine the sensitivity of Australian superannuation SRI funds to the movements, in terms of the extent, speed and duration, in the equity market and SRI sectors of Australia and the US. We perform the analysis by taking into account the different market conditions through the application of Markov regime switching approach. Our results reveal that Australian ...
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    An increasing proportion of Australian superannuation funds are being placed in socially responsible investments (SRI). Existing studies show that SRI funds perform similarly to non-SRI funds. However, these studies have mainly focused on a comparison of returns. Hence, we examine the sensitivity of Australian superannuation SRI funds to the movements, in terms of the extent, speed and duration, in the equity market and SRI sectors of Australia and the US. We perform the analysis by taking into account the different market conditions through the application of Markov regime switching approach. Our results reveal that Australian superannuation SRI funds, just like their non-SRI counterparts, as reported in Roca and Wong (forthcoming), are driven mainly by the US equity market and to a certain extent, by the Australian equity market. In addition, we found that the US (but not the Australian) SRI sector affects Australian superannuation SRI funds. This implies that the US SRI sector is also a source of systematic risk for Australian superannuation SRI funds.
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    Conference Title
    15th Annual Conference on PBFEAM
    Publisher URI
    http://www.centerforpbbefr.rutgers.edu/
    Subject
    Econometric and Statistical Methods
    Publication URI
    http://hdl.handle.net/10072/27624
    Collection
    • Conference outputs

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