Journal of Business Ethics

, Volume 146, Issue 2, pp 353–364 | Cite as

The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM

  • Yuchao Xiao
  • Robert Faff
  • Philip Gharghori
  • Byoung-Kyu Min


This study formulates a two-factor empirical model under the intertemporal CAPM framework to evaluate the cross-sectional implications of socially responsible investments in the US equity market. Our results show that socially responsible investments have no asset pricing impact on the US market. We argue that this ‘no financial impact’ finding indicates that investors will not be disadvantaged financially by investing in socially responsible funds or corporations.


Socially responsible investments Intertemporal CAPM Asset pricing Economic tracking portfolios 


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Copyright information

© Springer Science+Business Media Dordrecht 2015

Authors and Affiliations

  • Yuchao Xiao
    • 1
  • Robert Faff
    • 2
  • Philip Gharghori
    • 3
  • Byoung-Kyu Min
    • 4
  1. 1.Department of Finance, Deakin Business SchoolDeakin UniversityMelbourneAustralia
  2. 2.UQ Business SchoolUniversity of QueenslandBrisbaneAustralia
  3. 3.Department of Banking and Finance, Monash Business SchoolMonash UniversityMelbourneAustralia
  4. 4.Discipline of Finance, University of Sydney Business SchoolUniversity of SydneySydneyAustralia

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