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Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp01qr46r325b
Title: COMPARING THE EFFECTS OF INVESTING IN PORTFOLIOS OF SOCIALLY RESPONSIBLE COMPANIES ON ABNORMAL RETURNS
Authors: Koo, Spencer
Advisors: Yogo, Motohiro
Department: Economics
Class Year: 2016
Abstract: In this paper, I create and analyze portfolios of socially responsible (SR) companies to see if socially responsible investing (SRI) leads to abnormal returns. I use company ratings from KLD Research & Analytics to rank companies over multiple categories and a combination of those categories. Using the simple strategies of going long on high-ranking companies and shorting low-ranking ones, I aim to: 1) discover if there exist any general return trends of SR equity investing, whether positive, negative, or neutral, 2) find out if any one particular SR trait or equity investing method that leads to particularly abnormal returns, and 3) discuss the shortfalls of some of the KLD data set. My analysis concludes that a long-short strategy over a combination of SR categories does create statistically significant abnormally high monthly returns up to 1.43%. However, the limited index range and lack of categorical rankings from KLD ultimately prevent any generalized conclusions concerning SRI, except within the S&P 500 and Russell 3000.
Extent: 33 pages
URI: http://arks.princeton.edu/ark:/88435/dsp01qr46r325b
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Economics, 1927-2016

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