Empirical investigation of socially responsible investments in Pakistani firms using Carhart Four Factor model

Amna 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.

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