The stocks at stake: Return and risk in socially responsible investment

Green and Good? The Investment Performance of US Environmental Mutual Funds

“…However, aggregate measures of SRI do not differentiate existing relationships between individual dimensions of SRI and returns. According to Galema et al (2008), one of the reasons why the empirical literature yields few significant relations between SRI and expected returns may be due to the aggregation over different dimensions that have confounding effects. For example, it is possible that positive news on environmental friendly production is positively related to expected returns, whereas news pertaining to good employee relations is negatively related.…”

“…In general, these studies reach the conclusion that SRI efficiency does not differ much from that of other types of investment. Galema et al (2008) provide an interesting theoretical discussion on SRI and performance.…”

“…However, some studies find that social responsible investing might have better performance than 1 See, for instance, White (1995), Statman(2000), Derwall et al (2005), Benson et al (2006), Gil-Bazo et al (2010) or Derwall and Koedijk (2009). 2 See, respectively, Gregory et al (1997), Bauer et al (2007) and Fernandez and Matallin (2008). conventional funds with similar characteristics (see Kempf and Osthoff (2007) and Galema et al (2008) on US stock portfolios, or Fernandez and Matallin (2008) and GilBazo et al (2010) on Spanish and US mutual funds).…”

Do socially responsible investment indexes outperform conventional indexes?

“…They typically find that differences depend upon area, year of coverage, and industry (see Sauer (1997), Statman (2000), Labatt and White (2002), Bauer et al (2005), Renneboog et al (2008a)). Also, see Benson and Humphrey (2008), Galema et al (2008), and Renneboog et al (2008a) for other trends in the research. For example, Bauer et al (2005) applied a conditional multi-factor model for the US, the UK, and Germany SRIs using monthly data for 1990-2001.…”

The Relationship between Disclosure of Corporate Social Responsibility Information and Stock Synchronicity: Evidence from Listed Liquor Companies

“…With the development of Social Responsibility Investment, scholars pay more attention to answer the question about whether voluntary disclosure of social responsibility information can become special information or not, and if voluntary disclosure could eliminate information asymmetry, thus to affect investors' trade behavior. Foreign scholars focused on the relationship between social responsibility information disclosure and the capital market reaction (Ingram, 1978;Galema et. Al., 2008); social responsibility information and stock liquidity (Amihud and Mendelson, 1986;Diamond and Verrecchia, 1991), and so on.…”