Socially Responsible Investment Returns and News: Evidence from Asia

Abstract

We set out in this study to examine: (i) whether ‘socially responsible investment’ (SRI) portfolios can outperform less-SRI portfolios in the emerging Asian stock markets; and (ii) whether investors within these emerging markets achieve awareness of SRI through publicly available news. Based on 2009-2013 data, we find that SRI portfolios tend to perform better in Japan. However, firms in the emerging Asian markets do not earn rewards for superior CSR practices. We also find that investors in the emerging Asian markets are indeed aware of SRI through public CSR news releases; in particular, investors in these markets reward high ESG-rated firms for their good CSR practices advertised through such news releases, relative to those with no news releases.

Keywords: Corporate social responsibility, Socially responsible investment, News advertisement effect, Individual investors

JEL Classification: G11, G14, G39