Exploring Arbitrage Strategies in Corporate Social Responsibility Companies

被引：9

作者：

Montoya-Cruz, Estefania ^{[1
]}

Ramos-Requena, Jose Pedro ^{[1
]}

Trinidad-Segovia, Juan Evangelista ^{[1
]}

Sanchez-Granero, Miguel Angel ^{[2
]}

机构：

[1] Univ Almeria, Dept Econ & Empresa, Carretera Sacramento S-N, Almeria 04120, Spain

[2] Univ Almeria, Dept Matemat, Carretera Sacramento S-N, Almeria 04120, Spain

来源：

SUSTAINABILITY | 2020年 / 12卷 / 16期

关键词：

Corporate Social Responsibility; Hurst exponent; Pairs Trading; correlation; co-movement; FINANCIAL PERFORMANCE; HURST EXPONENT; ECONOMIC-PERFORMANCE; RETURNS; RISK;

D O I：

10.3390/su12166293

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

Today, Socially Responsible financial investment has taken on particular importance. Investors normally select their most profitable investments, but over the years they have appreciated that companies develop Socially Responsible policies. Financial indices have also created Socially Responsible versions. In this paper, we run a statistical arbitrage technique known as Pairs Trading using stocks of the FTSE4GOOD Socially Responsible Index. Different strategies will be tested to demonstrate that there are no significant differences between the performance of the portfolio composed by Corporate Social Responsibility (CSR) stocks and those composed by ordinary stocks.

引用

页数：17

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