Does sustainability practices, corporate governance and social responsibility affect risk and return of investments?

Bruno Milani, Marcelo Brutti Righi, Paulo Sérgio Ceretta, Valéria da Veiga Dias

Abstract


This article aims to verify whether the investments in companies with better practices of Corporate Social Responsibility, Corporate Governance and Sustainability presents performance differences in relation to investments in companies that represent the market. To this end, we analyzed the series of daily returns of Ibovespa, IGC, IGCT, ISE and ITAG through GARCH model and mean differences tests. The results show that the conditional volatility of the differentiated practices indexes is significantly smaller than the Ibovespa volatility, although the correlation between the returns is very high. Besides that, the Sharpe Index (1966) of the better practices indexes shows that their return per unit of risk is significantly higher than Ibovespa’s. Thus, in general, it is possible to conclude that investments in different practices constitute a less risky and more profitable alternative to the investor.




DOI: https://doi.org/10.5902/198346596946



Licença Creative Commons
Este obra está licenciado com uma Licença Creative Commons Atribuição-NãoComercial-CompartilhaIgual 4.0 Internacional.

  

  

Revista de Administração da UFSM. Brazilian Journal of Management

Universidade Federal de Santa Maria, Santa Maria, Rio Grande do Sul, Brasil, eISSN 1983-4659