Dochód–ryzyko w inwestycjach społecznie odpowiedzialnych na podstawie portfeli pasywnych spółek z krajów Europy Środkowo- Wschodniej
Income-risk in value-based investing in Central and Eastern European countries (CEECs – based on the companies reflected in socially responsible indices

Summary/Abstract: The main objective of the article is to analyze the relationship between income- risk portfolios of the companies listed within socially responsible stock indices in Central and Eastern European countries (CEECs) as well as to compare the results with conventional indices. The analysis involves the companies included in such socially responsible indices as CEERIUS, VONIX and RESPECT. Daily and weekly log returns were applied to assess profitability whereas to assess performance the following indices were used: Sharpe ratios, modified Sharpe ratios. The PSSO portfolios was compared with portfolios of classic companies. A limitation of the study is a short period of analysis (2010-2015), which is due to the fact that the indices were created in 2009-2010. The analysis of relationships income portfolio risk socially responsible companies provides conclusions, especially at this stage the knowledge, that they are intended for long-term investors who agree to bear a greater risk to obtain higher expected rate of return on investment in the long term.

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