Empirical investigation of socially responsible investments in Pakistani ﬁrms using Carhart Four Factor modelAmna Ibrahim, Tahira Awan and Muhammad Yar Khan
First published: 1 March 2019
This study uses Carhart Four Factor Model to examine the impact of socially responsible investments on portfolio returns. Data has been collected from ﬁnancial reports of socially responsible companies over the period 2010-2016. The results reveal that portfolio returns are explained signiﬁcantly by market, size, book to market ratio, momentum and SRI whereas stock returns are not explained by momentum and SRI. This implies that investors can opt for socially responsible investments without compromising on returns..
Keywords: Socially responsible investments · Carhart Four Factor Model · Portfolios · Ethical investors.