Tid: 1 juni 2009 kl 16.15-17.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Tetiana Soviak

Titel: Financial outcomes of investing into socially responsible companies (Examensarbete – Master thesis)

Abstract

Preserving a good environmental situation is one of the most important tasks of modern society. That is why a large body of research studies the impact of socially responsible investment strategies on portfolio performance. However, the conclusions drawn from these studies are contradictory and inconsistent. The aim of this work is to investigate whether a long-term premium or penalty exists for holding environmentally and socially responsible companies in a portfolio. In contrast to all previous studies that were based on market-capitalization indexes, we perform an analysis based on both market-capitalization and Research Affiliates Fundamental Indexes®. The main conclusion of this study is that the results are heavily dependent on portfolio selection, i.e. the way we define environmentally and socially 'friendly' portfolios. In many cases there is no superior investment strategy, since although some may lead to higher returns with higher risk, others are more suitable for risk-averse investors. One limitation of this study is its short performance history (4.5 years), which makes it impossible to draw any conclusions that are statistically significant.

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