Exploring Arbitrage Strategies in Corporate Social Responsibility Companies
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 ve...
| Main Authors: | , , , |
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| Format: | info:eu-repo/semantics/article |
| Language: | English |
| Published: |
MDPI
2020
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10835/8408 |
| _version_ | 1789406649537003520 |
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| author | Montoya Cruz, Estefanía Ramos Requena, José Pedro Trinidad Segovia, Juan Evangelista Sánchez Granero, Miguel Ángel |
| author_facet | Montoya Cruz, Estefanía Ramos Requena, José Pedro Trinidad Segovia, Juan Evangelista Sánchez Granero, Miguel Ángel |
| author_sort | Montoya Cruz, Estefanía |
| collection | DSpace |
| description | 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. |
| format | info:eu-repo/semantics/article |
| id | oai:repositorio.ual.es:10835-8408 |
| institution | Universidad de Cuenca |
| language | English |
| publishDate | 2020 |
| publisher | MDPI |
| record_format | dspace |
| spelling | oai:repositorio.ual.es:10835-84082023-04-12T19:09:12Z Exploring Arbitrage Strategies in Corporate Social Responsibility Companies Montoya Cruz, Estefanía Ramos Requena, José Pedro Trinidad Segovia, Juan Evangelista Sánchez Granero, Miguel Ángel Corporate Social Responsibility Hurst exponent Pairs Trading correlation co-movement 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. 2020-09-02T10:44:22Z 2020-09-02T10:44:22Z 2020-08-05 info:eu-repo/semantics/article 2071-1050 http://hdl.handle.net/10835/8408 en https://www.mdpi.com/2071-1050/12/16/6293 Attribution-NonCommercial-NoDerivatives 4.0 Internacional http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess MDPI |
| spellingShingle | Corporate Social Responsibility Hurst exponent Pairs Trading correlation co-movement Montoya Cruz, Estefanía Ramos Requena, José Pedro Trinidad Segovia, Juan Evangelista Sánchez Granero, Miguel Ángel Exploring Arbitrage Strategies in Corporate Social Responsibility Companies |
| title | Exploring Arbitrage Strategies in Corporate Social Responsibility Companies |
| title_full | Exploring Arbitrage Strategies in Corporate Social Responsibility Companies |
| title_fullStr | Exploring Arbitrage Strategies in Corporate Social Responsibility Companies |
| title_full_unstemmed | Exploring Arbitrage Strategies in Corporate Social Responsibility Companies |
| title_short | Exploring Arbitrage Strategies in Corporate Social Responsibility Companies |
| title_sort | exploring arbitrage strategies in corporate social responsibility companies |
| topic | Corporate Social Responsibility Hurst exponent Pairs Trading correlation co-movement |
| url | http://hdl.handle.net/10835/8408 |
| work_keys_str_mv | AT montoyacruzestefania exploringarbitragestrategiesincorporatesocialresponsibilitycompanies AT ramosrequenajosepedro exploringarbitragestrategiesincorporatesocialresponsibilitycompanies AT trinidadsegoviajuanevangelista exploringarbitragestrategiesincorporatesocialresponsibilitycompanies AT sanchezgraneromiguelangel exploringarbitragestrategiesincorporatesocialresponsibilitycompanies |