Abstract
This study investigates whether socially responsible investing (SRI) portfolio performs better than the market indexes using the utility-based nonparametric approach. The results from realized return distribution show that SRI portfolio outperforms the market indexes in term of almost stochastic dominance. The outperformance of SRI portfolio is robust to various robustness tests. Overall, our findings indicate that the SRI strategy indeed generates better performance. It is also suggested that past SRI ratings are valuable information for investors to incorporate socially responsible firms into their investment decision and yield a high return.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
