Show simple item record

dc.contributor.authorCheung, Adrian W.K.
dc.contributor.authorLi, Huimin
dc.contributor.authorRoca, Eduardo
dc.contributor.editorAkimov, Alexandr
dc.date.accessioned2020-01-16T07:53:01Z
dc.date.available2020-01-16T07:53:01Z
dc.date.issued2010
dc.identifier.issn1836-8123en_US
dc.identifier.otherRePEc:gri:fpaper:finance:201018
dc.identifier.urihttp://hdl.handle.net/10072/390453
dc.description.abstractThis paper investigates the financial performance difference between seven U.S. socially responsible investment (SRI) indices and their corresponding benchmark indices during different stock market regimes. We employed the Markov Switching Model to precisely divide the study period into three regimes. After that, we compared the risk, return, and risk adjusted return of the SRI indices during each identified regime with their corresponding benchmark indices. We find that SRI has higher returns than non-SRI across three different regimes, but there is no difference between the SRI and the non-SRI in terms of risk-adjusted returns. Our results imply that there is no financial sacrifice by SRI investors even when market conditions change. We contribute to the literature by taking into consideration for the first time the effect of the stock market regimes on the financial performance comparison between SRI and non-SRI.en_US
dc.format.extent22 pages
dc.languageEnglish
dc.publisherGriffith Universityen_US
dc.publisher.placeBrisbane, Australiaen_US
dc.relation.ispartofpagefrom1en_US
dc.relation.ispartofpageto22en_US
dc.subject.keywordsG00 - Financial Economics: General
dc.subject.keywordsSocially responsible investmenten_US
dc.subject.keywordsFinancial performanceen_US
dc.subject.keywordsMarket regimesen_US
dc.subject.keywordsMarkov Switching modelen_US
dc.title2010-18: The Performance of Socially Responsible Investments Across Different Market Regimes (Working paper)en_US
dc.typeReporten_US
dc.type.descriptionDiscussion Paperen_US
gro.facultyGriffith Business School
gro.description.notepublicFinance
gro.rights.copyrightCopyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
gro.date.issued2010
gro.hasfulltextFull Text
gro.griffith.authorCheung, Adrian WK.
gro.griffith.authorLi, Jane
gro.griffith.authorRoca, Eduardo D.


Files in this item

This item appears in the following Collection(s)

  • Reports
    Contains reports by Griffith authors published for government agencies, industry and other organisations.

Show simple item record