The mean-variance efficiency of an overweight portfolio in socially responsible actions in Mexico and in United States
Por:
Guadalupe Macias-Trejo, Luis, Lopez-Herrera, Francisco, Valdemar de la Torre-Torres, Oscar
Publicada:
1 ene 2020
Resumen:
This article reviews the benefits for an investor with a portfolio that
invests in both a market index and socially responsible investment (SRI)
stocks, that is diversified in the United States and Mexico. By using
the Markowitz standard model with daily historical return data of the
S&P 500, the Dow Jones Sustainabitity, the Price and Quotation Index
(POI), and the PQI sustainabitity index, it was found that to overweight
in SRI stocks Leads to a better mean-variance efficiency in both
countries, in a comparison with a portfolio replicating the level of
investment of SRI stocks of the previously mentioned market indices. The
results presented contribute to refute the theoretical position that
benefits and profitability are Lost if the preference is given to the
SRI, in comparison with a conventional portfolio or market index.
Filiaciones:
Guadalupe Macias-Trejo, Luis:
Univ Michoacana, Fac Contaduria & Ciencias Adm, Morelia, Michoacan, Mexico
Lopez-Herrera, Francisco:
Univ Nacl Autonoma Mexico, Fac Contaduria & Adm, Mexico City, DF, Mexico
Valdemar de la Torre-Torres, Oscar:
Univ Michoacana, Fac Contaduria & Ciencias Adm, Morelia, Michoacan, Mexico
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