Abstract

This article proposes a straightforward measure of the residual unsystematic risk that a selective portfolio investment strategy, such as socially responsible investment, eventually bears. The model is empirically employed in order to analyse whether the MSCI socially responsible indices bear significant levels of volatility that could be diversified by not imposing social screenings to the set of eligible investments. The study finds that a low but not negligible part of the volatility of the returns could be diversified by not restricting the investment to socially responsible companies. Implications for the socially responsible investing industry and socially responsible investors are discussed. © 2016 Informa UK Limited, trading as Taylor & Francis Group

Autore Pugliese

• Pizzutilo Fabio

Tutti gli autori

• PIZZUTILO F.

Titolo volume/Rivista

Non Disponibile

Anno di pubblicazione

2017

ISSN

1466-4291

ISBN

Non Disponibile

Numero di citazioni Wos

Nessuna citazione

Ultimo Aggiornamento Citazioni

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Numero di citazioni Scopus

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Ultimo Aggiornamento Citazioni

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Settori ERC

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Codici ASJC

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