Financial Performance of Socially Responsible Indices

Śliwiński, Paweł; Łobza, Maciej

doi:10.1515/ijme-2017-0003

Cited by 10 publications

(6 citation statements)

References 7 publications

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“…They prove empirically that these performance differences are related to CSR practices. By contrast, Sliwinski and Lobza [50] find that investing in the CSR indices does not yield better results than investing in the respective conventional indices in the United States, Korea, and Poland.…”

Section: Literature Review and Hypothesesmentioning

confidence: 90%

“…As an alternative to funds' performance, several studies compare the performance of the CSR indices and benchmarks [49][50][51]. Lopez et al [49] compare the performance of groups of firms included in the DJSI and those included in the Dow Jones Global Index (DJGI), which are not included in the DJSI, for 1998-2004, and find significant differences.…”

Section: Literature Review and Hypothesesmentioning

confidence: 99%

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Who Values Corporate Social Responsibility in the Korean Stock Market?

2019

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In this study, we explore the stock market’s response to new information that a firm has been included in the Dow Jones Sustainability Index (DJSI) in Korea. In addition, we investigate which investor group contributes to the changes, if any significant increase in returns is found, after a firm’s incorporation into the DJSI. This study aims to identify which investors value corporate social responsibility (CSR) in the Korean stock market and examine whether the government-led campaigns for CSR have affected private sector investors, as well as those from the public sector. We find statistically significant abnormal returns for firms after their first listing in the index, implying that investors in Korean markets consider a firm’s inclusion in the DJSI as good news for the firm value. Using a unique dataset from the Korea Exchange (KRX) on investors, we classify investors into four groups: individual investors, public pension funds, other institutional investors, and foreign investors. Unlike prior studies that focus only on the existence of abnormal returns, we investigate the trading behavior of each investor group for such announcements. We find that it is mainly the buying pressure of public pension funds that generates abnormal returns. By contrast, we cannot find statistically significant results for the other investor groups. This result implies that the government-led campaign for CSR has only had limited effects in the Korean stock market, and that awareness of CSR in the private sector should be improved.

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Section: Literature Review and Hypothesesmentioning

confidence: 90%

Section: Literature Review and Hypothesesmentioning

confidence: 99%

Who Values Corporate Social Responsibility in the Korean Stock Market?

2019

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“…In a comparative analysis of structural and dynamic properties of traditional stock market indices and social responsible indices, descriptive statistics methods are used in most works [17][18][19][20].…”

Section: State Of the Artmentioning

confidence: 99%

“…The article [19] analyzes rate-of-return and risk related to investments in socially responsible and conventional country indices. The socially responsible indices are the DJSI Korea, DJSI US and Respect Index, and the corresponding conventional country indices are the Korea Stock Exchange Composite KOSPI, Dow Jones Industrial Average and WIG20TR.…”

Section: State Of the Artmentioning

confidence: 99%

Recurrence based entropies for sustainability indices

et al. 2020

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The work is devoted to a comparative analysis complexity of traditional stock market indices and social responsible indices in the example Dow Jones Sustainability Indices and Dow Jones Industrial Average. As measures of complexity, the entropies of various recurrence indicators are chosen -the entropy of the diagonal lines of the recurrence diagram, recurrence probability density entropy and recurrence entropy. It is shown that these measures make it possible to establish that the socially responsive Dow Jones index is more complex. A comprehensive assessment of complexity reveals the nature of the effectiveness of social responsible indices and opens up new opportunities for investor risk management.

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“…Rathner, 2012; Latinovic and Obradovic, 2013;Dias Curto and Vital, 2014;Pouget, 2014;Sliwinski and Lobza, 2017;López-Arceiz et al, 2018;Risalvato et al, 2019); 4. There is also evidence pointing out that investors tend to hold diversified portfolios, composed by SRI and conventional investments.…”

Section: Literature Review: Sri Economic Growth and Dynamic Modellingmentioning

confidence: 99%

Optimal growth under socially responsible investment: a dynamic theoretical model of the trade-off between financial gains and emotional rewards

Gomes¹

2020

Int J Corporate Soc Responsibility

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Socially responsible investment (SRI) evolved, along the last two decades, from an almost unexplored topic in science to a recurrent theme of research and debate in Economics and Finance. The growing interest on the theme has two fundamental causes. On one hand, empirical evidence unveils a change of behavior of investors, who typically no longer restrict their decision-making to a strict financial analysis; ethical, social, environmental, and political concerns are also on the forefront of investors’ assessments. On the other hand, the economic science is witnessing a paradigm shift characterized by a progressive departure from the orthodox rational deliberation framework and in the direction of the introduction of behavioral elements. In this study, an intertemporal model is proposed to serve as a benchmark for the evaluation of the implications of social and environmental awareness upon investors’ decisions and investment performance. The model is a simple optimal control framework that highlights the trade-off between financial returns and the satisfaction emanating from investing in firms or projects guided by ethical values and by good governance principles. Better financial outcomes may come with a social damage that the representative agent in the model will include, with a negative sign, in her utility function. Long-term steady-state results and transitional dynamics are duly evaluated for neoclassical and endogenous growth versions of the model.

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Financial Performance of Socially Responsible Indices

Cited by 10 publications

References 7 publications

Who Values Corporate Social Responsibility in the Korean Stock Market?

Who Values Corporate Social Responsibility in the Korean Stock Market?

Recurrence based entropies for sustainability indices

Optimal growth under socially responsible investment: a dynamic theoretical model of the trade-off between financial gains and emotional rewards

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