Abstract
This study uses Carhart Four Factor Model to examine the impact of socially responsible investments on portfolio returns. Data has been collected from financial reports of socially responsible companies over the period 2010- 2016. The results reveal that portfolio returns are explained significantly by market, size, book to market ratio, momentum and SRI whereas stock returns are not explained by momentum and SRI. This implies that investors can opt for socially responsible investments without compromising on returns.
Keywords
Socially responsible investments, Carhart Four Factor Model, Portfolios, Ethical investors
DOI
https://doi.org/10.54784/1990-6587.1030
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Recommended Citation
Ibrahim, A., Awan, T., & Khan, M. Y. (2019). Empirical investigation of socially responsible investments in Pakistani firms using Carhart four factor model. Business Review, 13(2), 51-80. Retrieved from https://doi.org/10.54784/1990-6587.1030
Submitted
December 14, 2020
Published
January 03, 2019
COinS
Publication Stage
Published
