Sovereign Bonds and Socially Responsible Investment

Fiche du document

Auteur
Date

2009

Discipline
Type de document
Périmètre
Langue
Identifiants
Source

HAL SHS (Sciences de l’Homme et de la Société)

Collection

Archives ouvertes

Organisation

Centre pour la communication scientifique directe

Licence

info:eu-repo/semantics/OpenAccess

Mots-clés En

Socially Responsible Investment, Sovereign Bonds, Portfolio Selection, Rating, Spanning Tests, Mean-variance efficiency, Portfolio Choice

Sujets proches En

Debentures Bond issues

Citer ce document

Bastien Drut, « Sovereign Bonds and Socially Responsible Investment », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.834f6b...

Métriques

Partage / Export

Résumé 0

While the literature on Socially Responsible Investment (SRI) is mainly focused on the stock market, little attention has been paid to SRI in sovereign bonds. This paper investigates the effect of taking into account socially responsible indicators for countries, the Vigeo Sustainability Ratings (VSR), on the efficient frontier formed with the sovereign bonds of twenty developed countries. It shows that it is possible to increase the portfolios’ VSR rating without significantly harming the risk/return relationship. The analysis then focuses on specific ratings relating to a) the environment, b) social concerns, and c) public governance. The results suggest that socially responsible portfolios of sovereign bonds can be built without a significant diversification cost.

document thumbnail

Par les mêmes auteurs

Sur les mêmes sujets

Sur les mêmes disciplines