Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/147800
Title: THE MISPRICED GREYS MISPRICING IN SOCIALLY AMBIGUOUS STOCKS
Authors: EDWIN ISKANDAR SETIAWAN
Issue Date: 2013
Citation: EDWIN ISKANDAR SETIAWAN (2013). THE MISPRICED GREYS MISPRICING IN SOCIALLY AMBIGUOUS STOCKS. ScholarBank@NUS Repository.
Abstract: The study uses a novel way to categorize stocks based on their Corporate Social Responsibility (CSR) performance and finds that stocks of ‘Grey’ companies – companies that are socially responsible in certain dimensions but are socially irresponsible in other dimensions – are underpriced by the market. In particular, we find that portfolios that go long on ‘Grey’ companies exhibit a statistically significant positive alpha that is persistent throughout different sample sizes and sample periods. Furthermore, the study also finds that the degree of underperformance is moderated when these companies have bigger market capitalizations and are more visible. This suggests that the underperformance is a result of investors’ neglect of ‘Grey’ companies, a phenomenon that we believe is a side-effect of the increasing popularity of Socially Responsible Investing (SRI). Additionally, the study shows that there is no particular dimension of CSR that is responsible for this underpricing, suggesting that with regards to CSR, companies are evaluated based on multiple dimensions.
URI: http://scholarbank.nus.edu.sg/handle/10635/147800
Appears in Collections:Bachelor's Theses

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
b33102685.pdf324.37 kBAdobe PDF

RESTRICTED

NoneLog In

Page view(s)

1
checked on Oct 4, 2018

Download(s)

1
checked on Oct 4, 2018

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.