Socially Responsible Investment Portfolios in GIIPS Countries: A Multifactor Approach

Abstract: The present study investigates the relationship between Corporate Social Responsibility and Financial Performance from a sample of all listed companies in European peripheric countries (Greece, Ireland, Italy, Portugal and Spain) often referred as GIIPS countries. The study employs a methodology based on a Socially Responsible Investment (SRI) portfolios formation approach. The portfolio formation considers the companies included in the Global Reporting Initiative (GRI) into a timeframe of more than one decade which comprises the sovereign debt crisis. The empirical results show that investing in companies that engage in these practices obtain a better performance when compared with conventional portfolio. The study also applies a multifactor model and found that the returns of the GRI portfolio can be explained by others risk factors when compared with German stock market, which have not been spared by the Eurozone debt crisis, but less affected.

Keywords: Corporate social responsibility; Socially responsible companies; GIIPS markets; Performance; Risk.

Outros seminários / Other seminars: Programa completo / Full programme.

17/05/2019 17h00 Sala 115
Growth Theory under Deaton's Consumption Heuristic - Orlando Gomes (ISCAL-IPL)
Socially Responsible Investment Portfolios in GIIPS Countries: A Multifactor Approach - Irene Guia Arraiano (ISCAL-IPL)
Capital Gains Sensitivity of U.S. BBB-rated Debt: a Markov-Switching Application - Mariya Gubareva (ISCAL-IPL / SOCIUS-CSG)