Empirical investigation of socially responsible investments in Pakistani firms using Carhart four factor model

Authors

Amna Ibrahim, International Islamic University, Islamabad, PakistanFollow
Tahira Awan, International Islamic University, Islamabad, Pakistan
Muhammad Yar Khan, COMSATS University, Islamabad

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