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Contaduría y administración

versão impressa ISSN 0186-1042

Resumo

TORRE TORRES, Oscar De la  e  MARTINEZ TORRE ENCISO, Ma Isabel. Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review. Contad. Adm [online]. 2017, vol.62, n.1, pp.222-238. ISSN 0186-1042.  http://dx.doi.org/10.1016/j.cya.2016.09.001.

The present paper continues the firsts reviews made to socially responsible investment in Mexico. We extended these reviews by using a non-parametric multivariate equality test, along with a multi-factor market cap model, and a Monte Carlo simulation. Our results show that the IPCS index, the IPCcomp and the IPC have a statistically equal mean-variance performance, suggesting that this sort of investment style (SRI) is a good substitute of the broad market investment style in the long term. Among the causes of this finding is the fact that the IPCS and the IPCcomp indexes have almost the same large and small cap stock concentration and the IPC index (a large-cap one) is not as diversified and mean-variance efficient as the former.

Palavras-chave : Portfolio selection; Asset pricing; Financial forecasting and simulation; Socially responsible investment; Performance of socially responsible indexes; G11; G17; G23..

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