Abstract
Investors are no worse off by excluding assets from their portfolio that are not socially responsible in case they face a short sales restriction. In fact, this conclusion will hold for most investor types. However, in case short sales are allowed for, investors are worse off in terms of foregone risk reduction opportunities for most dimensions of social responsibility. We use data for more than 2,000 US based companies for the period 1991-2004. We use mean-variance spanning tests to investigate whether investors are worse off in meterms by excluding assets from their portfolio that are not socially responsible.
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