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Repositorio de la Red Internacional de Investigadores en Competitividad

RESPONSABILIDAD SOCIAL Y SUSTENTABILIDAD

Vol. 9 No. 1 (2015): La competitividad frente a la incertidumbre global: 978-607-96203-4

A FACTOR ANALYSIS OF SOCIALLY RESPONSIBLE INVESTMENT IN MEXICO AS A COMPETITIVENESS PRACTICE: A TEST AND THEORETICAL REVIEW

Submitted
April 20, 2016
Published
2016-04-25

Abstract

El presente trabajo es uno de los primeros estudios que prueba la eficiencia media-varianza de la inversión socialmente responsable (SRI). En el mismo comparo el desempeño del índice IPC sustentable contra los índices generales ICPcomp e IPC, al emplear el índice de Sharpe, una prueba ANOVA, así como un modelo CAPM estándar; una prueba CAPM de expansión, un modelo de desempeño multifactorial y una simulación Monte Carlo. Los resultados demuestran que los tres índices tienen desempeños estadísticamente iguales, sugiriendo que este tipo de estilo de inversión es un buen sustituto de la inversión convencional en el largo plazo. Esto se atribuye, específicamente, a temas de concentración similar en acciones de mediana y baja capitalización.

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