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Abstract
Can socially responsible investors, integrating environmental, social and ethical issues in their investment policy expect the same return as traditional investors? Analysis of the performance of five representative SRI indexes indicates that (on a style-adjusted basis) these SRI indexes have performed insignificantly better than traditional reference benchmarks. A more in-depth analysis that uses the sustainability ratings of the corporate social responsibility rating agency, Vigeo, confirms this result. The same result is found for four of the five subratings the sustainable rating is composed of, suggesting that sustainability is an essential component. The results also indicate that in vestors are ready to pay a premium for companies that do a good job of managing their relations with shareholders, clients, and suppliers.
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