SOCIALLY RESPONSIBLE INVESTMENT IN THE CAPITAL MARKETS: ANALYSIS OF THE PERFORMANCE OF INTERNATIONAL STOCK EXCHANGES INDEXES AND BRAZILIAN EQUITY FUNDS

Abstract

Portfolio managers have been trying to take into consideration environmental and social corporate challenges when building equity portfolios in the capital markets, making corporate sustainability and triple bottom line analysis part of their job. Although first attempts have been made many years ago, socially responsible investment (SRI) may be considered a fairly new segment of the international market and Brazil may be called a newcomer. This research has analyzed the financial return and volatility of some of the main international stock exchanges indexes and Brazilian equity funds in which social and environmental aspects are considered for portfolio selection. Time series data have been obtained from the databases Datastream, Bloomberg and Quantum. Last month for time series analysis has been December 2005, a milestone for SRI in Brazil with the launching of the Brazilian Stock Exchange Sustainability Index (ISE-BOVESPA). Keeping in mind some concerns regarding short time series and some dependence among them, results showed no statistically significant differences in return and volatility among SRI indexes or portfolios and their respective benchmarks.