Working Paper: NBER ID: w11747
Authors: Henry Hongbo Jin; Olivia S. Mitchell; John Piggott
Abstract: As the level of retirement-related assets has grown, so too has public and private interest in so-called "Socially Responsible Investment" (SRI), an investment strategy that employs criteria other than the usual financial risk and return factors when selecting firms in which to invest. This study evaluates whether SRI indexes would alter portfolio risk and return patterns for the new defined contribution pension plans currently on offer in Japan. We conclude that SRI funds can be included as an option, albeit with some cost; consequently, mandatory investment in SRI portfolios cannot reasonably be justified.
Keywords: No keywords provided
JEL Codes: G11; G20; G23
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| SRI portfolios constructed using a constant-weighting method (G11) | TOPIX index (C43) |
| SRI portfolios (G11) | market indices (G10) |
| SRI portfolios (G11) | diversified market portfolio (G11) |
| SRI flag (F50) | market information prior to launch of SRI indices (G10) |
| SRI portfolios (G11) | selection bias (C24) |