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Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review

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  • Oscar De la Torre Torres

    (Universidad Michoacana de San Nicolás de Hidalgo, Mexico)

  • Mª Isabel Martínez Torre Enciso

    (Universidad Autónoma de Madrid, Spain)

Abstract

The present paper continues the firsts reviews made to socially responsible investment in Mexico. We extended these reviews by using a non-parametric multivariate equality test, along with a multi-factor market cap model, and a Monte Carlo simulation. Our results show that the IPCS index, the IPCcomp and the IPC have a statistically equal mean-variance performance, suggesting that this sort of investment style (SRI) is a good substitute of the broad market investment style in the long term. Among the causes of this finding is the fact that the IPCS and the IPCcomp indexes have almost the same large and small cap stock concentration and the IPC index (a large-cap one) is not as diversified and mean-variance efficient as the former.

Suggested Citation

  • Oscar De la Torre Torres & Mª Isabel Martínez Torre Enciso, 2017. "Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review," Contaduría y Administración, Accounting and Management, vol. 62(1), pages 222-238, Enero-Mar.
    • Handle: RePEc:nax:conyad:v:61:y:2016:i:3:p:222-238
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    References listed on IDEAS

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    1. Thomas Berry & Joan Junkus, 2013. "Socially Responsible Investing: An Investor Perspective," Journal of Business Ethics, Springer, vol. 112(4), pages 707-720, February.
    2. Darren D. Lee & Robert W. Faff, 2009. "Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective," The Financial Review, Eastern Finance Association, vol. 44(2), pages 213-237, May.
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    6. Bauer, Rob & Koedijk, Kees & Otten, Roger, 2005. "International evidence on ethical mutual fund performance and investment style," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1751-1767, July.
    7. N. Eccles & S. Viviers, 2011. "The Origins and Meanings of Names Describing Investment Practices that Integrate a Consideration of ESG Issues in the Academic Literature," Journal of Business Ethics, Springer, vol. 104(3), pages 389-402, December.
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    Cited by:

    1. Jesus Barrena-Martinez & Macarena López-Fernández & Pedro M. Romero-Fernandez, 2018. "Drivers and Barriers in Socially Responsible Human Resource Management," Sustainability, MDPI, vol. 10(5), pages 1-14, May.

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    More about this item

    Keywords

    Portfolio selection; Asset pricing; Financial forecasting and simulation; Socially responsible investment; Performance of socially responsible indexes;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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