The Effect on Portfolio Performance of Diversification into Socially Responsible Investments: Evidence from an Australian context

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Author(s)
Primary Supervisor
Roca, Eduardo
Tularam, Anand
Year published
2011
Metadata
Show full item recordAbstract
Socially responsible investment (SRI) has grown significantly in the last ten years.
Many international organizations have become increasingly involved in the movement
towards SRI. The move towards SRI investing is being driven by institutions such as the
United Nations Principles for Responsible Investing whose membership of financial
institutions, including asset owners and institutional investors, holds assets totalling
US$13 trillion. This growth was promoted further by the 2006 launch of the Principles
for Responsible Investment (PRI), with an agreement by leading pension funds, asset
managers and consultants to develop ...
View more >Socially responsible investment (SRI) has grown significantly in the last ten years. Many international organizations have become increasingly involved in the movement towards SRI. The move towards SRI investing is being driven by institutions such as the United Nations Principles for Responsible Investing whose membership of financial institutions, including asset owners and institutional investors, holds assets totalling US$13 trillion. This growth was promoted further by the 2006 launch of the Principles for Responsible Investment (PRI), with an agreement by leading pension funds, asset managers and consultants to develop new strategies to embed environmental, social and governance issues (ESG-issues). The tremendous growth has caught the attention of investors and fund managers that are seeking alternative assets and markets to improve their portfolio performance. There are claims, based on recent evidence, that SRI can provide investors’ portfolios with better returns. The thesis aims to investigate this claim. The thesis examines the effect of diversifying into SRI in terms of risks and returns from the perspective of an Australian investor, on the performance of a portfolio consisting of stocks and bonds. In examining this aim, the thesis first identifies and evaluates the performance of the optimal SRI portfolio which consists of Australian and international SRI assets. Subsequently, the thesis constructs an optimal portfolio consisting of stocks, bonds and SRI based on the identified SRI portfolio, whose performance is then examined. In pursuit of the objective, the thesis conducts three interconnected studies. Firstly, an analysis of the inter-linkages between the Australian and other SRI markets worldwide. Secondly, an examination of the impact of international diversification on the performance of SRI portfolios based on an Australian perspective. Thirdly, an investigation of the impact of diversification into SRI assets on the performance of a portfolio of stocks and bonds.
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View more >Socially responsible investment (SRI) has grown significantly in the last ten years. Many international organizations have become increasingly involved in the movement towards SRI. The move towards SRI investing is being driven by institutions such as the United Nations Principles for Responsible Investing whose membership of financial institutions, including asset owners and institutional investors, holds assets totalling US$13 trillion. This growth was promoted further by the 2006 launch of the Principles for Responsible Investment (PRI), with an agreement by leading pension funds, asset managers and consultants to develop new strategies to embed environmental, social and governance issues (ESG-issues). The tremendous growth has caught the attention of investors and fund managers that are seeking alternative assets and markets to improve their portfolio performance. There are claims, based on recent evidence, that SRI can provide investors’ portfolios with better returns. The thesis aims to investigate this claim. The thesis examines the effect of diversifying into SRI in terms of risks and returns from the perspective of an Australian investor, on the performance of a portfolio consisting of stocks and bonds. In examining this aim, the thesis first identifies and evaluates the performance of the optimal SRI portfolio which consists of Australian and international SRI assets. Subsequently, the thesis constructs an optimal portfolio consisting of stocks, bonds and SRI based on the identified SRI portfolio, whose performance is then examined. In pursuit of the objective, the thesis conducts three interconnected studies. Firstly, an analysis of the inter-linkages between the Australian and other SRI markets worldwide. Secondly, an examination of the impact of international diversification on the performance of SRI portfolios based on an Australian perspective. Thirdly, an investigation of the impact of diversification into SRI assets on the performance of a portfolio of stocks and bonds.
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Thesis Type
Thesis (PhD Doctorate)
Degree Program
Doctor of Philosophy (PhD)
School
Griffith Business School
Copyright Statement
The author owns the copyright in this thesis, unless stated otherwise.
Item Access Status
Public
Subject
Socially responsible investments
Ethical investments
United Nations Principles for Responsible Investing
ESG-issues investments
Investment portfolio