How risky are the socially responsible investment (SRI) stocks? Evidence from the Central and Eastern European (CEE) companies

Brzeszczynski, Janusz, Gajdka, Jerzy and Schabek, Tomasz (2021) How risky are the socially responsible investment (SRI) stocks? Evidence from the Central and Eastern European (CEE) companies. Finance Research Letters, 42. p. 101939. ISSN 1544-6123

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We evaluate the risk of the socially responsible investment (SRI) stocks from the Central and Eastern European (CEE) markets. Our analysis covers the data from the first and oldest national sustainability stock market index introduced in the CEE countries, i.e. the RESPECT index listed at the Warsaw Stock Exchange (WSE) in Poland, which was launched in 2009. The RESPECT index stocks are compared with other CEE stocks belonging to the CECE SRI index from the broader CEE region listed at the Vienna Stock Exchange (VSE).

The beta coefficients and other risk measures evidence that the SRI stocks in Poland, which were constituents of the RESPECT index, have been characterised by relatively lower risk than the broader market and by better risk-adjusted performance. They also exhibited an asymmetric risk behavior patterns. In comparison, the CECE SRI index stocks were also characterised by lower risk than the market, asymmetric risk effects and superior risk-adjusted performance.

Overall, we conclude that the investigated SRI companies from the CEE countries are less risky relative to the broader market, but their behavior exhibits clearly asymmetric risk patterns.

Item Type: Article
Additional Information: Funding information: This work was supported by the research funding from the National Science Center / Narodowe Centrum Nauki (NCN) in Poland (project number: 2019/33/B/HS4/01095).
Uncontrolled Keywords: Sustainability, Stock Market Risk, Socially Responsible Investment (SRI), CEE Markets, Asymmetric Risk Behaviour.
Subjects: N100 Business studies
N300 Finance
Department: Faculties > Business and Law > Newcastle Business School
Depositing User: John Coen
Date Deposited: 27 Jan 2021 09:02
Last Modified: 20 Jan 2022 03:30

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