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Improving Diversification Opportunities for Socially Responsible Investors
16 references·3 citing·30 second hop
Improving Diversification Opportunities for Socially Responsible Investors (2015)Improving Diversification Opportunities f…Journal of Business Ethics (2017)Journal of Business EthicsSocially responsible investments: Institutional aspects, performance, and investor behavior (2008)Socially responsible investme…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…The Effect of Socially Responsible Investing on Portfolio Performance (2007)The Effect of Socially Respon…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…The Eco-Efficiency Premium Puzzle (2005)The Eco-Efficiency Premium Pu…International Stock Return Comovements (2005)International Stock Return Co…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices (2019)The Inclusion of Socially Irr…Selecting Socially Responsible Portfolios: A Fuzzy Multicriteria Approach (2019)Selecting Socially Responsibl…Information asymmetry in CSR reporting: publicly-traded versus privately-held firms (2019)Information asymmetry in CSR …Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Common risk factors in the returns on stocks and bonds (1993)A Survey of Corporate Governance (1997)On Persistence in Mutual Fund Performance (1997)Corporate social responsibility and stakeholder value maximization: Evidence from mergers (2013)Sustainable investing in equilibrium (2020)The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China (2020)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Conditional value-at-risk for general loss distributions (2002)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Rediscovering Satisfaction (1999)A Review of The Empirical Ethical Decision-Making Literature: 1996–2003 (2005)13 Ethical Decision Making: Where We’ve Been and Where We’re Going (2008)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2017Journal of Business Ethics1,946 cited
  • 2008Socially responsible investments: Institutional aspects, performance, and investor behavior1,756 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 2005The Eco-Efficiency Premium Puzzle963 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2005International Stock Return Comovements

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860 cited
  • 2007The Effect of Socially Responsible Investing on Portfolio Performance851 cited
  • Cited by

    • 2019Selecting Socially Responsible Portfolios: A Fuzzy Multicriteria Approach59 cited
    • 2019Information asymmetry in CSR reporting: publicly-traded versus privately-held firms56 cited
    • 2019The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices44 cited