Contact us
 |
customer@davidpublishing.com |
 |
3275638434 |
 |
 |
| Paper Publishing WeChat |
Useful Links
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Article
Efficiency of Sustainable Investment in Polish Regulated Market
Author(s)
Marcin Bartkowiak, Bogna Janik
Full-Text PDF
XML 687 Views
DOI:10.17265/1537-1514/2012.09.004
Affiliation(s)
Marcin Bartkowiak, Ph.D., Senior Lecturer, Department of Applied Mathematics, Poznan University of Economics.
Bogna Janik, Ph.D., Senior Lecturer, Department of Banking and Financial Market, Poznan School of Banking.
ABSTRACT
The objective of this paper is the analysis of sustainable investment in terms of its effectiveness. The scope of analysis encompasses sustainable companies included in the RESPECT index, banks from RESPECT Index as well as the assets of sustainable Investment Fund SKOK. In the research, the following question was posed: Is the effectiveness of the companies and banks reflected in RESPECT Index and Investment Fund SKOK higher/lower than main market indices? In order to answer the question, the Sharpe ratio was calculated from daily and weekly returns in the period of December 2009 when the RESPECT index was created. The benchmark applied was WIG20 which is the index of 20 major companies in terms of capitalization and free flow. The same research was conducted for the portfolio of banks, included in the RESPECT index from the beginning, which was compared with WIG Banks index. Investment Fund SKOK was compared with the broad market WIG index and WIG20 index. Logarithmic rates of return were applied. WIBOR ON and WIBOR SW were treated as risk-free interest rate. Moreover, the results of the RESPECT index were analyzed with the application of linear regression in order to specify Jensen’s alpha. The influence of adding to the RESPECT index was analyzed by means of event study methodology. The effectiveness of RESPECT index was higher than that of WIG20 index. The portfolio of banks included in the RESPECT index was also higher than that of WIG Banks index. The effectiveness of investment fund SKOK is lower than benchmarks applied. Positive influence of return rates was noted at the moment of inclusion in the index. The period of analysis was relatively short for drawing general conclusions. The results might have a random character. The only exception is the investment in Investment Fund SKOK, the effectiveness is lower which might result from a wider investment array.
KEYWORDS
sustainable development, social responsibility investment, investment funds, sustainability stock indices
Cite this paper
References
Barnea, A., & Rubin, A. (2006). Corporate social responsibility as a conflict between shareholders. EFA 2006 Zurich Meetings.
Bauer, R., Koedijk, K., & Otten, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking and Finance, 29, 1751-1767.
Becchetti, L., & Ciciretti, R. (2006). Corporate social responsibility and stock market performance. CEIS Working Paper No. 79 (April 19, 2010).
Derwall, J., & Verwijmeren, P. (2007). CSR and the cost of equity capital. In The Economic Virtues of SRI and CSR (ERIM Ph.D. Series Research in Management). In J. Derwall (Ed.). Haveka (pp. 193-213).
Derwall, J., Gunster, N., Bauer, R., & Koedijk, K. (2005). The eco-efficiency premium puzzle. Financial Analysts, 61, 61-63.
Dowell, G., Hart, S., & Yeung, B. (2000). Do corporate global environmental standards create or destroy market value? Management Science, 46, 1059-1074.
Dufresne, F., & Savaria, P. (2004). Corporate social responsibility and financial risk. Journal of Investing, 13, 57-66.
Edmans, A. (2008). Does the stock market fully value intangibles? Employee Satisfaction and Equity Prices. Working Paper series at the R. L. White Center for Financial Research 16-07: 30 (April 19, 2010).
Galema, R., Plantinga, A., & Scholens, B. (2008). The stocks and stake: Return and risk in socially responsible investment. Journal of Banking and Finance, 32, 2646-2654.
Heinkel, R., Kraus, A., & Zechner, J. (2001). The effect of green investment on corporate behavior. Journal of Financial and Quantitative Analysis, 36(4), 431-449.
MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35, 13-39.
Patell, J. M. (1976). Corporate forecasts of earnings per share and stock price behavior: Empirical tests. Journal of Accounting Research, 14, 246-276.
Peterson, P. P. (1989). Event studies: A review of issues and methodology. Quarterly Journal of Business and Economics, 28, 36-66.
Statman, M. (2006). Socially responsible indexes. Journal of Portfolio Management, 32, 100-109.
Statman, M., & Glushkov, D. (2009). The wages of social responsibility. Financial Analysts Journa, 65, 33-46.
Wall, L. (1995). Some lessons from basic finance for effective socially responsible investing. Economic Review—Federal Reserve Bank of Atlanta, 80, 1-12.