COMPARATIVE EMPIRICAL EVALUATION OF SOCIALLY RESPONSIBLE AND CONVENTIONAL EQUITY PORTFOLIOS IN INDIA: A STUDY ON MULTI-FACTOR AND PERSISTENCE APPROACH
DOI:
https://doi.org/10.69980/3t7ebb64Keywords:
ESG portfolios, Carhart four-factor model, Portfolio performance, Risk-adjusted returns, Socially responsible investingAbstract
The study examines the comparative performance of ESG based Socially responsible Portfolios and Conventional Equity Portfolios in India over the period from April 2009 to March 2024. It compares responsible portfolios with conventional portfolios and market benchmarks using return, risk, risk-adjusted measures, the Carhart four-factor model, and the Top-minus-Bottom (TMB) approach for persistence analysis. The findings show that socially responsible portfolios were not financially disadvantaged during the study period. NIFTY100 ESG portfolio recorded the highest average return over the full period, while SR Non-Blue Chip portfolio performed strongly across several risk-adjusted and alpha-based measures. The Carhart model further shows that some responsible portfolios generated positive abnormal returns even after controlling for market, size, value, and momentum factors. However, the persistence results suggest that such out performance was not stable across time and was often followed by reversal effects. Overall, the results indicate that ESG and socially responsible investing in India offered a credible and financially sound alternative to conventional investing during the study period.
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