The Cost of Socially Responsible Portfolios: Testing for Mean-Variance Spanning
28 Pages Posted: 23 Jan 2008 Last revised: 16 Feb 2009
Date Written: February 1, 2009
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.
Keywords: Mean-variance spanning, Portfolio Choice, Corporate Social Responsibility, Socially Responsible Investment, Short Sales Constraint
JEL Classification: G11, G12, M14
Suggested Citation: Suggested Citation
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