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This study investigates performance of portfolios composed of British Socially Responsible Investments (SRI) stocks. Using the Global 100 Most Sustainable Corporations in the World list (known also as: Global-100) to select the SRI companies, we found that, in the period 2000-2010, the returns of the SRI portfolios were on average higher compared to the corresponding returns of the market indexes. The annual average difference in returns of the SRI portfolios (with dividends) was 5.26% and 5.69% relative to the FTSE100 and FTSE4GOOD indexes (the total return versions), respectively, but the differences in returns in the whole period, in individual years and in other sub-periods were in most cases not statistically significant. Positive performance of SRI stocks in the whole sample is, however, evidenced by risk-adjusted measures such as the modified Sharpe ratio (MSR) and Certainty Equivalent (CEQ) returns, as well as by incorporating various levels of transaction costs. Moreover, a simple trading strategy relying on selection of SRI stocks from the Global-100 list would beat the market indexes in the whole period 2000-2010, even after inclusion of various levels of transaction costs. We also estimated the Fama-French and Carhart multi-factor models and found that the returns of the SRI portfolios cannot be consistently explained by conventional factors other than the market factor.

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In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics in Poland. The Polish pension system reform in 1999 and the associated increase in institutional ownership due to the investment activities of pension funds are used as a unique institutional characteristic. We find robust empirical evidence that the increase of institutional ownership has changed the autocorrelation and volatility structure of aggregate stock returns. However, the findings do not support the hypothesis that institutional investors have destabilized stock prices. The results are interpretable in favor of a stabilizing effect on index stock returns induced by institutional trading.

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