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Portfolio instability and socially responsible investment: Experiments with financial professionals and students

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  • Tatarnikova, Olga
  • Duchêne, Sébastien
  • Sentis, Patrick
  • Willinger, Marc

Abstract

Efficiency of SRI portfolios is commonly assessed based on an inconclusive risk-return ratio. We propose to approach the efficiency of portfolios with the notion of instability. Unstable portfolios are characterized by higher transaction costs and human resources costs that justify search for more stable portfolios. We examine the instability of SRI portfolios from the perspective of behavioral finance. Based on data from incentivized experiments with 153 financial professionals and 233 students, we compare a baseline treatment to a ranking treatment in which participants received feedback regarding their average investment in SRI assets. We found that SRI portfolios had significantly lower instability: portfolios with a majority of SRI shares exhibited less instability in both treatments compared to conventional portfolios. Moreover, in the ranking treatment subjects invested more in SRI assets than in the baseline. In addition, the experiment revealed the convergence of professionals’ and students’ behavioral patterns.

Suggested Citation

  • Tatarnikova, Olga & Duchêne, Sébastien & Sentis, Patrick & Willinger, Marc, 2023. "Portfolio instability and socially responsible investment: Experiments with financial professionals and students," Journal of Economic Dynamics and Control, Elsevier, vol. 153(C).
    • Handle: RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001082
    DOI: 10.1016/j.jedc.2023.104702
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    More about this item

    Keywords

    Behavioral finance; Experimental economics; Financial asset markets; Portfolio instability; Socially responsible investment;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • C9 - Mathematical and Quantitative Methods - - Design of Experiments

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