Socially Responsible Indexes

By M. Statman. 2006

256 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/70e07b943d5fc22c6c1528ad818ab67b2ab592c2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Gregor Dorfleitner
2. G. Halbritter
3. Imane El Ouadghiri
4. Khaled Guesmi
5. Yacine Belghitar
6. Philip L. Baird
7. A. Matsuda
8. Pinar Celikkol Geylani

In Economics and Econometrics

1. Shunsuke Managi
2. Tatsuyoshi Okimoto
3. Imane El Ouadghiri
4. Khaled Guesmi
5. Yacine Belghitar
6. A. Matsuda
7. G. Halbritter
8. M. Nguyen

In Finance

1. Shunsuke Managi
2. Imane El Ouadghiri
3. Khaled Guesmi
4. Yacine Belghitar
5. Philip L. Baird
6. A. Matsuda
7. G. Halbritter
8. Pinar Celikkol Geylani

Citations in the corpus

• Do socially responsible investment indexes outperform conventional indexes? (2012, background): “They typically find that differences depend upon area, year of coverage and industry (Sauer, 1997; Statman, 2000; Labatt and White, 2002; Bauer et al., 2005; Renneboog et al., 2008a).”
• Modeling volatility and conditional correlations between socially responsible investments, gold and oil (2014, unknown): “Statman (2006) compares four SRI indexes with the S&P 500 and finds that while the correlations between SRI indexes and the S&P 500 are very high the returns of the SRI indexes generally outperform that of the S&P 500.”
• Measuring the level and risk of corporate responsibility – An empirical comparison of different ESG rating approaches (2015, methodology): “While early research commonly utilizes SRI mutual funds or indices (for example, Bauer et al, 2005; Bello, 2005; Kreander et al, 2005; Statman, 2006; Schröder, 2007), today a growing number of ESG ratings allow a more accurate analysis of the relationship between companies’ social and financial…”
• Does it pay to be ethical? Evidence from the FTSE4Good (2014, methodology): “Statman (2000, 2006) and Schroder (2007) provide a solution to this issue by comparing the performance of SRI indices with conventional indices based on the argument that indices are immune to biases associated with specific funds, such as management quality, operating costs, size, age, etc. and…”
• Stock Returns in Relation to Environmental, Social and Governance Performance: Mispricing or Compensation for Risk? (2011, background): “…their costs, but investors, on average, consistently underestimate the benefits or overestimate the 1This is the value relevance hypothesis discussed in Derwall and Verwijmeren (2007) 5 costs, then the risk-adjusted returns of high-ESG firms would be higher than of low-ESG firms (Statman, 2006).”
• The effects of environmental, social and governance disclosures and performance on firm value: A review of the literature in accounting and finance (2017, unknown): “Statman (2006) finds that the alphas of the Domini 400 index (one of the oldest and most well know social equity indexes) between 1990 and 2004 are not any different, in a statistical sense, from those of the S&P 500 index.”
• The Wages of Social Responsibility (2009, unknown): “46 www.cfapubs.org ©2009 CFA Institute”
• Corporate Social and Financial Performance Re-Examined: Industry Effects in a Linear Mixed Model Analysis (2011, background): “Statman (2006) analyzed the monthly alphas of four socially responsible indexes and could not reject the hypothesis that returns of socially responsible companies are equal to those of conventional firms.”
• Financial markets, innovations and cleaner energy production in OECD countries (2018, unknown): “Recent finance literature also shows that the market performance underpinned by investors’ preference of socially responsible funds is significantly higher than that of the S&P 500 index (Statman, 2000; 2006).”