The Long-Term Performance of a Social Investment Universe

Kurtz, Lloyd; diBartolomeo, Dan

doi:10.3905/joi.2011.20.3.095

Cited by 34 publications

(8 citation statements)

References 5 publications

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“…Our results confirm previous findings that the presence of socially irresponsible firms in a portfolio enhances its performance (Dravenstott and Chieffe, 2011). Kurtz and Di Bartolomeo (2011) provide evidence that sector exposure substantially drives SRI portfolio returns. Accordingly, we investigated whether the portfolio loadings changed, after controlling for industry effects.…”

Section: Esg Baseline Portfoliossupporting

confidence: 91%

Should Islamic investors consider SRI criteria in their investment strategies?

Erragraguy

Revelli

2015

Finance Research Letters

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Section: Esg Baseline Portfoliossupporting

confidence: 91%

Should Islamic investors consider SRI criteria in their investment strategies?

Erragraguy

Revelli

2015

Finance Research Letters

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“…Kurtz and Dibartolomeo (2011) provide evidence that sector exposure substantially drive SRI portfolio returns. Dravenstott and Chieffe (2011) point out that Energy and Utility companies are more likely to be considered “irresponsible” using an aggregate scoring approach, while Financial and IT companies are more likely to be considered “responsible.” Since Islamic portfolios are more oriented toward certain specific sectors, we deemed it essential to control for the presence of industry effect in our performance models.…”

Section: Resultsmentioning

confidence: 95%

“…Indeed, some authors point out the lack of transparency and uniformity in the rating process of SRI mutual funds so that ratings tend to differ according to local regulations, investor preferences, and fund manager abilities. It is therefore difficult to neutralize the specific social premium effect attributed to each ESG indicator (Kurtz & Dibartolomeo, 2011).…”

Section: Methodsmentioning

confidence: 99%

Is it costly to be both shariah compliant and socially responsible?

Erragragui

Revelli

2016

Rev Financ Econ

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Positive ethics associated with socially responsible investments (SRI) is challenging the limits of Islamic investments' conservative approach to promote corporate social responsibility. In this study, we test the integration of social performance measures (companies the most virtuous or high-rated in terms of environmental, social, and governance (ESG) issues) in Islamic portfolios using KLD social ratings. We seek to determine the financial price of complying both to Islamic investment and SRI principles. To do so, we measure the financial performance of self-composed Islamic portfolios with varying ESG scores. The results indicate no adverse effects on returns due to the application of ESG screens on shariah-compliant stocks during the 2007-2011 periods while reporting substantially higher performance for the portfolios with good records in governance, products, diversity, and environment issues. On the opposite, a negative performance is associated with an SRI strategy of disengagement from shariah-compliant stocks with community and human rights controversies. Our performance measures are controlled for market sensitivity, investment style, momentum factor, and sector exposure.

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“…As Jeremy Grantham (2009, 2) observed, "The incredibly inaccurate efficient market theory [caused] a lethally dangerous combination of asset bubbles, lax controls, pernicious incentives and wickedly complicated instruments that led to our current plight." Washington Post financial journalist Roger Lowenstein (2009) was more direct: "The upside of the current Great Recession is that it could drive a stake through the heart of the academic nostrum known as the efficient-market hypothesis." 2…”

Section: Déjà Vu All Over Againmentioning

confidence: 99%

“…2. Lowenstein (2009) quotes Yale University economist Robert Shiller as calling the efficient-markets hypothesis "the most remarkable error in the history of economic theory." See also Rajan (2012) for a critique of modern portfolio theory and practices.…”

Section: The Way Forwardmentioning

confidence: 99%

Misadventures of An Irresponsible Investor

Gray

2012

SSRN Journal

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Volume 5 • Issue 2 Fall 2012 Jack Gray Rotman International Journal of Pension Management The ESG movement is nudging toward an unhealthy state of political correctness, one that brooks no criticism (and there is much, but mostly sotto voce). Boards spend excessive time on ESG relative to any expected benefits for the principals; managers cynically sign up to UNPRI else their business suffers; while principals, when given a choice, eschew the option. Nonetheless, ESG raises important questions about the very purpose of fiduciary investing, especially whether a pension fund has any social responsibility beyond generating the greatest risk-adjusted return for its beneficiaries. Jane Ambachtsheer, Stephen Davis, and Keith Johnston were invited to respond to Gray's views. Their comments follow immediately after this article.

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The Long-Term Performance of a Social Investment Universe

Cited by 34 publications

References 5 publications

Should Islamic investors consider SRI criteria in their investment strategies?

Should Islamic investors consider SRI criteria in their investment strategies?

Is it costly to be both shariah compliant and socially responsible?

Misadventures of An Irresponsible Investor

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