Sovereign Bonds and Socially Responsible Investment

CEB Working Paper No. 09/014

32 Pages Posted: 1 Dec 2009

See all articles by Bastien Drut

Bastien Drut

Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management; Université Paris Ouest - Nanterre, La Défense - EconomiX

Date Written: November 27, 2009

Abstract

This paper investigates how the mean-variance efficient frontier defined by sovereign bonds of twenty developed countries is affected by the consideration of socially responsible indicators for countries in the investment decision-making. For a global rating of socially responsible performances, we show that it is possible to build portfolios with an increased average rating without significantly harming the risk/return relationship. This result differs when considering subratings related to the environment, social concerns, and public governance. The results are good news for responsible investors and suggest that socially responsible portfolios of sovereign bonds can be built without a significant diversification loss.

Keywords: Extra-financial Ratings, Mean-variance Efficiency, Portfolio Selection, Responsible Investing, Socially Responsible Investment, Sovereign Bonds, Spanning Tests

JEL Classification: G11, G15

Suggested Citation

Drut, Bastien, Sovereign Bonds and Socially Responsible Investment (November 27, 2009). CEB Working Paper No. 09/014. Available at SSRN: https://ssrn.com/abstract=1514450 or http://dx.doi.org/10.2139/ssrn.1514450

Bastien Drut (Contact Author)

Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management ( email )

19 Av Franklin Roosevelt
1050
Brussels
Belgium

Université Paris Ouest - Nanterre, La Défense - EconomiX

200 Avenue de la République
Nanterre cedex, Nanterre Cedex 92000
France

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
88
Abstract Views
558
rank
308,085
PlumX Metrics