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

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  • Olga Tatarnikova

    (ESSCA Research Lab - ESSCA - Ecole Supérieure des Sciences Commerciales d'Angers, CEE-M - Centre d'Economie de l'Environnement - Montpellier - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Montpellier - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement - UM - Université de Montpellier)

  • Sebastien Duchene

    (Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School)

  • Patrick Sentis

    (MRM - Montpellier Research in Management - UPVD - Université de Perpignan Via Domitia - UM - Université de Montpellier)

  • Marc Willinger

    (CEE-M - Centre d'Economie de l'Environnement - Montpellier - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Montpellier - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement - UM - Université de Montpellier)

Abstract

Efficiency of SRI portfolios is commonly assessed based on an inconclusive risk-return ratio. Wepropose to approach the efficiency of portfolios with the notion of instability. Unstable portfolios arecharacterized by higher transaction costs and human resources costs that justify search for more stableportfolios. We examine the instability of SRI portfolios from the perspective of behavioral finance. Basedon data from incentivized experiments with 153 financial professionals and 233 students, we compare abaseline treatment to a ranking treatment in which participants received feedback regarding their aver-age investment in SRI assets. We found that SRI portfolios had significantly lower instability: portfolioswith a majority of SRI shares exhibited less instability in both treatments compared to conventionalportfolios. 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

  • Olga Tatarnikova & Sebastien Duchene & Patrick Sentis & Marc Willinger, 2022. "Portfolio instability and socially responsible investment:experiments with financial professionals and students," CEE-M Working Papers hal-03909118, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
    • Handle: RePEc:hal:wpceem:hal-03909118
    Note: View the original document on HAL open archive server: https://hal.inrae.fr/hal-03909118v1
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    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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