Performance of Socially Responsible Stocks Portfolios - The Impact of Global Financial Crisis

Journal of Economics and Business Research ISSN2068-3537 XXII (1), 2016, pp. 42-68

27 Pages Posted: 26 Sep 2016

See all articles by Vanita Tripathi

Vanita Tripathi

Department of Commerce, Delhi School of Economics,University of Delhi, India; University of Delhi India - Delhi School of Economics - Department of Commerce

Varun Bhandari

University of Delhi - Department of Commerce

Date Written: 2016

Abstract

For the effective and better implementation of CSR law, development of SRI market in the investment world is essential. Unless the investors turn socially responsible, CSR principles cannot be enforced in practice. This paper examines whether the companies that are socially responsible are performing better than general companies in terms of risk, return and various risk-adjusted measures during pre-crisis, crisis and post-crisis periods. We find that despite having higher risk, socially responsible stocks portfolios generated significantly higher returns and hence outperformed other portfolios on the basis of all risk-adjusted measures as well as net selectivity returns during crisis period. The results uphold even with the use of Fama-French three factor model for estimating excess returns. Besides augmenting existing literature, our results clearly corroborate the fact that investors can derive benefits by investing in socially responsible companies (especially in crisis period). The study supports the view that socially responsible products can be used as a safe investment vehicle by investors during adversity. Therefore, regulators, policy makers and mutual funds should construct and make available various socially responsible investment products to initiate the movement of socially responsible investing in India.

Keywords: Socially Responsible Investing, ESG Index, GREENEX Index, Dummy Variable, Market Model, Fama-French Three Factor Model

JEL Classification: G14

Suggested Citation

Tripathi, Vanita and Tripathi, Vanita and Bhandari, Varun, Performance of Socially Responsible Stocks Portfolios - The Impact of Global Financial Crisis (2016). Journal of Economics and Business Research ISSN2068-3537 XXII (1), 2016, pp. 42-68, Available at SSRN: https://ssrn.com/abstract=2843113

Vanita Tripathi (Contact Author)

Department of Commerce, Delhi School of Economics,University of Delhi, India ( email )

Department of Commerce, Delhi school of Economics,
Delhi, Delhi 110007
India

HOME PAGE: http://people@du.ac.in~vtripathi/

University of Delhi India - Delhi School of Economics - Department of Commerce ( email )

Department of Commerce
Delhi University
Delhi, 110007
India

HOME PAGE: http://people@du.ac.in~vtripathi/

Varun Bhandari

University of Delhi - Department of Commerce ( email )

University Road
Delhi, 110 007
India

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