Show simple item record

dc.contributor.authorLi, Jane
dc.contributor.authorCheung, Adrian
dc.contributor.authorRoca, Eduardo
dc.date.accessioned2017-05-03T11:48:47Z
dc.date.available2017-05-03T11:48:47Z
dc.date.issued2010
dc.date.modified2011-03-11T05:52:14Z
dc.identifier.issn14502887
dc.identifier.urihttp://hdl.handle.net/10072/36595
dc.description.abstractWe provide empirical evidence regarding the effect of stock market regimes on Social Responsible Investment (SRI). Using the Markov Switching Model, we identify three market regimes for the study period between June 2001 and December 2009 in the US. These regimes are the low, medium, and high volatility states. We find a positive relationship between the idiosyncratic risk (i.e. unsystematic risk) and return during low and medium volatility states. However, this positive relationship tends to disappear during high volatility states. In addition, our analysis suggests that idiosyncratic risk has no forecasting power over SRI future returns. Overall, our findings imply that SRI investors are rewarded for bearing the additional SRI specific risk (idiosyncratic risk) when the market is less volatile. This reward, however, becomes uncertain during periods of high market volatility.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent356938 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherEuropean Journals, Inc.
dc.publisher.placeAustria
dc.publisher.urihttp://www.eurojournals.com/irjfe_54_06.pdf
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom63
dc.relation.ispartofpageto74
dc.relation.ispartofissue54
dc.relation.ispartofjournalInternational Research Journal of Finance and Economics
dc.relation.ispartofvolume2010
dc.rights.retentionY
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchOther economics not elsewhere classified
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode3802
dc.subject.fieldofresearchcode389999
dc.subject.fieldofresearchcode3502
dc.titleYes, Indeed, Idiosyncratic Risk Matters for Socially Responsible Investments!
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.rights.copyright© 2010 EuroJournals Publishing, Inc. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
gro.date.issued2010
gro.hasfulltextFull Text
gro.griffith.authorRoca, Eduardo D.
gro.griffith.authorCheung, Adrian WK.
gro.griffith.authorLi, Jane


Files in this item

This item appears in the following Collection(s)

  • Journal articles
    Contains articles published by Griffith authors in scholarly journals.

Show simple item record