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dc.contributor.authorLi, Janeen_US
dc.contributor.authorCheung, Adrianen_US
dc.contributor.authorRoca, Eduardoen_US
dc.date.accessioned2017-05-03T11:48:47Z
dc.date.available2017-05-03T11:48:47Z
dc.date.issued2010en_US
dc.date.modified2011-03-11T05:52:14Z
dc.identifier.issn14502887en_US
dc.identifier.urihttp://hdl.handle.net/10072/36595
dc.description.abstractWe provide empirical evidence regarding the effect of stock market regimes on Social Responsible Investment (SRI). Using the Markov Switching Model, we identify three market regimes for the study period between June 2001 and December 2009 in the US. These regimes are the low, medium, and high volatility states. We find a positive relationship between the idiosyncratic risk (i.e. unsystematic risk) and return during low and medium volatility states. However, this positive relationship tends to disappear during high volatility states. In addition, our analysis suggests that idiosyncratic risk has no forecasting power over SRI future returns. Overall, our findings imply that SRI investors are rewarded for bearing the additional SRI specific risk (idiosyncratic risk) when the market is less volatile. This reward, however, becomes uncertain during periods of high market volatility.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_AU
dc.format.extent356938 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglishen_US
dc.language.isoen_AU
dc.publisherEuropean Journals, Inc.en_US
dc.publisher.placeAustriaen_US
dc.publisher.urihttp://www.eurojournals.com/irjfe_54_06.pdfen_AU
dc.relation.ispartofstudentpublicationNen_AU
dc.relation.ispartofpagefrom63en_US
dc.relation.ispartofpageto74en_US
dc.relation.ispartofissue54en_US
dc.relation.ispartofjournalInternational Research Journal of Finance and Economicsen_US
dc.relation.ispartofvolume2010en_US
dc.rights.retentionYen_AU
dc.subject.fieldofresearchEconomics not elsewhere classifieden_US
dc.subject.fieldofresearchcode149999en_US
dc.titleYes, Indeed, Idiosyncratic Risk Matters for Socially Responsible Investments!en_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
gro.facultyGriffith Business School, Department of Accounting, Finance and Economicsen_US
gro.rights.copyrightCopyright 2010 EuroJournals Publishing, Inc. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.en_AU
gro.date.issued2010
gro.hasfulltextFull Text


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