An Impact Investment Strategy
Sivaprasad, S., Juddoo, K., Malki, I. and Mathew, S. 2021. An Impact Investment Strategy. International Finance and Banking Society(IFABS) 2021. online 13 - 15 Sep 2021
Sivaprasad, S., Juddoo, K., Malki, I. and Mathew, S. 2021. An Impact Investment Strategy. International Finance and Banking Society(IFABS) 2021. online 13 - 15 Sep 2021
| Title | An Impact Investment Strategy |
|---|---|
| Authors | Sivaprasad, S., Juddoo, K., Malki, I. and Mathew, S. |
| Type | Conference paper |
| Abstract | Impact investing is based on using the ESG framework as a tool to evaluate firms that engage in generating positive impact. Most impact investors and fund managers now integrate the ESG framework in their investment and stock-picking process. However, due to lack of standardisation of ESG reporting, it remains a challenge for investors and the public to identify the truly sustainable companies. We propose an additional measure of tax avoidance to identify firms that are socially responsible. When firms indulge in excessive tax avoidance behaviour, it may be viewed as unethical or socially irresponsible. We integrate the empirical association between corporate social responsibility and tax avoidance into an investment strategy based on impact. We adopt an investment strategy based on firm‐level ESG ratings and tax avoidance practices. In a pure impact investment strategy based on ESG and tax avoidance, we find that investing in high‐ESG rated firms and low tax avoidance firms yields a buy and hold abnormal return of 3.4% per annum and 11.4% in a 3 years investment horizon. Next, if impact investors were to combine traditional investment strategies based on risk with impact measures, we find that portfolios of high‐ESG and high price‐to‐book‐ratio firms earn a buy and hold abnormal return of 21.2%, while a portfolio of low tax avoidance and high price-to-book portfolios earns 29.8% in the long run. Collectively, our results suggest that, whilst impact investing does provide investors a return, it does not necessarily outperform traditional investment strategies. Our results are robust to other risk factors and the sector of the firm. |
| Keywords | impact investing; corporate social responsibility; tax avoidance; abnormal returns |
| Year | 2021 |
| Conference | International Finance and Banking Society(IFABS) 2021 |
Islamic and Conventional Financial Institutions: Emerging Market Perspectives on Corporate Social Responsibilities
Sivaprasad, S. 2024. Islamic and Conventional Financial Institutions: Emerging Market Perspectives on Corporate Social Responsibilities. Pertanika Journal.
Long Trends in ASEAN Convergence
Kwan, C.Y. and Malki, I. 2024. Long Trends in ASEAN Convergence. Economics of Transition and Institutional change.
Stock Returns, Industry Concentration and Firm Expenditure Decisions
Kamuriwo, S., Muradoglu, G., Sivaprasad, S. and Malki, I. 2024. Stock Returns, Industry Concentration and Firm Expenditure Decisions. Journal of Economics and Business. 131 106195. https://doi.org/10.1016/j.jeconbus.2024.106195
The impact of microfinance on entrepreneurship and welfare among women borrowers in rural Pakistan
Malki, I., Ghalib, A. and Kausar, R. 2024. The impact of microfinance on entrepreneurship and welfare among women borrowers in rural Pakistan. World Development Perspectives. 35 100616. https://doi.org/10.1016/j.wdp.2024.100616
Connectedness Between Central Bank Digital Currency Index, Financial Stability and Digital Assets
Sivaprasad, S., Bas, T. and Malki, I. 2024. Connectedness Between Central Bank Digital Currency Index, Financial Stability and Digital Assets. Journal of International Financial Markets, Institutions and Money. 92 101981. https://doi.org/10.1016/j.intfin.2024.101981
Do returns and volatility spillovers exist across tech stocks, cryptocurrencies and NFTs?
Sivaprasad, S., Bas, T. and Malki, I. 2024. Do returns and volatility spillovers exist across tech stocks, cryptocurrencies and NFTs? Heliyon. 10 (2) e24615. https://doi.org/10.1016/j.heliyon.2024.e24615
An Empirical Analysis of Corporate Sustainability Bonds
Sivaprasad, S. and Mathew, S. 2024. An Empirical Analysis of Corporate Sustainability Bonds. Business Strategy and The Environment. 33 (4), pp. 3299-3316. https://doi.org/10.1002/bse.3663
Internationalization and Zero Leverage
Sivaprasad, S., Chatzivgeri, E., Dontis-Charitos, P. and Williams, J. 2024. Internationalization and Zero Leverage. European Journal of Finance. 30 (11), pp. 1185-1211. https://doi.org/10.1080/1351847x.2023.2277273
Does R&D Investment Drive Employment Growth? Empirical Evidence using Industry-Level from Japan
Shah, I.H., Kollydas, K., Lee, P.Y., Malki, I. and Chu, C. 2024. Does R&D Investment Drive Employment Growth? Empirical Evidence using Industry-Level from Japan. International Journal of Finance & Economics. 29 (1), pp. 102-118. https://doi.org/10.1002/ijfe.2677
Spill over effects of Geopolitical risk on the banking sector of CIS countries
Sivaprasad, S., Malki, I., Adami, R., Yodgorova, F. and Ibragimova, D. 2023. Spill over effects of Geopolitical risk on the banking sector of CIS countries. International Finance and Banking Society (IFABS), Oxford (2023). Oxford 24 - 26 Jul 2023 University of Westminster.
Going Global: Evidence from India
Sivaprasad, S., Adami, R., Mathew, S. and Puwanenthiren, P. 2023. Going Global: Evidence from India. International Journal of Banking, Accounting and Finance. 13 (4), pp. 464-486. https://doi.org/10.1504/IJBAAF.2023.10055872
An Impact Investment Strategy
Juddoo, K., Malki, I., Mathew, S. and Sivaprasad, S. 2023. An Impact Investment Strategy. Review of Quantitative Finance and Accounting. 61, pp. 177-211. https://doi.org/10.1007/s11156-023-01149-0
The Impact of the Russian-Ukrainian War on Global Financial Markets
Izzeldin, Marwan, Muradoglu, Gulnur, Pappas, Vasileios, Petropoulou, Athina and Sivaprasad, Sheeja 2023. The Impact of the Russian-Ukrainian War on Global Financial Markets. International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2023.102598
Brexit and its impact on EU financial markets
Sivaprasad, S., Muradoglu, G, Izzeldin, M and Pappas, V 2022. Brexit and its impact on EU financial markets. International Finance and Banking Society (IFABS), Naples (2022). Naples 07 - 09 Sep 2022
Brexit and its impact on EU financial markets
Sivaprasad, S., Izzeldin, M, Muradoglu, G and Pappas, V 2022. Brexit and its impact on EU financial markets. Financial Management & Accounting Research Conference 2022. Cyprus 19 - 21 Jun 2022
Brexit and its impact on EU financial markets
Sivaprasad, S., Muradoglu, Y.G., Pappas, V and Izzeldin,M 2022. Brexit and its impact on EU financial markets. 16th Annual Dynare Conference. Lancaster,UK 30 Jun - 01 Jul 2022
Comparative Analysis of Ethnic Minority Occupational Attainments in the UK 2014-2018
Kausar, R. and Malki, I. 2022. Comparative Analysis of Ethnic Minority Occupational Attainments in the UK 2014-2018. SSRN. https://doi.org/10.2139/ssrn.4090544
An Exploratory Insight into the Impact of COVID-19 on the Travel and Tourism Sector: UK Evidence
Sivaprasad, S. and Bas, T. 2022. An Exploratory Insight into the Impact of COVID-19 on the Travel and Tourism Sector: UK Evidence. in: Karabulut, Ş. (ed.) Economic and Financial Analysis of Global and National Developments Turkey Ekin.
The dynamics of income inequality in Africa: An empirical investigation on the role of macroeconomic and institutional forces
Enowbi Batuo, M., Kararach, G. and Malki, I. 2022. The dynamics of income inequality in Africa: An empirical investigation on the role of macroeconomic and institutional forces. World Development. 157 105939. https://doi.org/10.1016/j.worlddev.2022.105939
Corporate social performance and financial risk: Further empirical evidence using higher frequency data
Ayton, Julie, Krasnikova, N. and Malki, I. 2022. Corporate social performance and financial risk: Further empirical evidence using higher frequency data. International Review of Financial Analysis. 80 (March) 102030. https://doi.org/10.1016/j.irfa.2022.102030
On the long-run dynamics of income and wealth inequality
Ghoshray, A., Malki, I. and Ordóñez, J. 2022. On the long-run dynamics of income and wealth inequality. Empirical Economics. 62, pp. 375-408. https://doi.org/10.1007/s00181-021-02043-1
The value effects of changes in leverage
Bas, Tugba, Sivaprasad, Sheeja and Dellen, Stefan van 2022. The value effects of changes in leverage. Tourism Analysis. 27 (4), pp. 547-552. https://doi.org/10.3727/108354220x15961981728521
The Case of the United Kingdom: Mapping Localism, Resilience, and Civic Activism in Response to the COVID-19 Pandemic
Bradley, T., Malki, I., Ziniel, C. and Ghalib, A. 2021. The Case of the United Kingdom: Mapping Localism, Resilience, and Civic Activism in Response to the COVID-19 Pandemic. International Journal of Social Quality. 11 (1/2), pp. 145-175. https://doi.org/10.3167/IJSQ.2021.11010209
Dynamic Capability and Strategic Corporate Social Responsibility Adoption: Evidence from China
Li, J., Benamraoui, A., Shah, N.S. and Mathew, S. 2021. Dynamic Capability and Strategic Corporate Social Responsibility Adoption: Evidence from China. Sustainability. 13 (10) e5333. https://doi.org/10.3390/su13105333
Corporate Governance Practices and the Pandemic Crisis: UK Evidence
Mathew, S. and Sivaprasad, S. 2021. Corporate Governance Practices and the Pandemic Crisis: UK Evidence. Corporate Governance: The international journal of business in society. 21 (6), pp. 983-995. https://doi.org/10.1108/CG-08-2020-0357
The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model
Sivaprasad, S., Muradoglu, Y.G., Izzeldin, M and Pappas, V 2021. The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. International Review of Financial Analysis. 74 101671. https://doi.org/10.1016/j.irfa.2021.101671
The share of the global energy mix: Signs of convergence?
Ghoshray, A. and Malki, I. 2021. The share of the global energy mix: Signs of convergence? Bulletin of Economic Research. 73 (1), pp. 34-50. https://doi.org/10.1111/boer.12232
An Empirical Analysis of the Performance of Sponsored versus Non-Sponsored IPOs:Evidence from India
Sivaprasad, S. and Dadhaniya, R. 2019. An Empirical Analysis of the Performance of Sponsored versus Non-Sponsored IPOs:Evidence from India. Journal of Accounting in Emerging Economies. 10 (1), pp. 100-116. https://doi.org/10.1108/JAEE-05-2019-0100
A Structural Break Approach to Analysing the Impact of the QE Portfolio Balance Channel on the US Stock Market
Shah, I., Schmidt-Fisher, F., Malki, I. and Hatfield, R. 2019. A Structural Break Approach to Analysing the Impact of the QE Portfolio Balance Channel on the US Stock Market. International Review of Financial Analysis. 64, pp. 204-220. https://doi.org/10.1016/j.irfa.2019.05.010
Biosynthesis of spathulenol and camphor stand as a competitive route to artemisinin production as revealed by a new chemometric convergence approach based on nine locations’ field-grown Artemesia annua L.
Chemat, S., Boudjelal, S., Malki, I. and Lapkin, A. 2019. Biosynthesis of spathulenol and camphor stand as a competitive route to artemisinin production as revealed by a new chemometric convergence approach based on nine locations’ field-grown Artemesia annua L. Industrial Crops and Products. 137, pp. 521-527. https://doi.org/10.1016/j.indcrop.2019.05.056
A Note on the Modelling and Interpretation of a Public Goods Game Experiment
Lucas, P. and Malki, I. 2019. A Note on the Modelling and Interpretation of a Public Goods Game Experiment. Journal of Applied Statistics. 46 (4), pp. 737-753. https://doi.org/10.1080/02664763.2018.1508562
Enhancing Momentum Investment Strategy Using Leverage
Forner,C., Muradoglu, Y.G. and Sivaprasad, S. 2018. Enhancing Momentum Investment Strategy Using Leverage. Journal of Forecasting. 37 (5), pp. 573-588. https://doi.org/10.1002/for.2522
Corporate Governance and Firm Risk
Mathew, S., Ibrahim, S. and Archbold, S. 2018. Corporate Governance and Firm Risk. Corporate Governance: The international journal of business in society. 18 (1), pp. 52-67. https://doi.org/10.1108/CG-02-2017-0024
The Role of Higher Education on Economic Development: Theory and Empirical Evidence from the MENA Countries
Malki, I. 2017. The Role of Higher Education on Economic Development: Theory and Empirical Evidence from the MENA Countries. La revue des sciences commerciales (The Review of Business). 16 (2), pp. 71-83.
Board attributes that increase firm risk - evidence from the UK
Mathew, S., Ibrahim, S. and Archbold, S. 2016. Board attributes that increase firm risk - evidence from the UK. Corporate Governance: The international journal of business in society. 16 (2), pp. 233-258 10.1108/CG-09-2015-0122. https://doi.org/10.1108/CG-09-2015-0122
Microfinance and Household Poverty Reduction: Empirical Evidence from Rural Pakistan
Ghalib, A.K., Malki, I. and Imai, K. 2015. Microfinance and Household Poverty Reduction: Empirical Evidence from Rural Pakistan. Oxford Development Studies. 43 (1), pp. 84-104. https://doi.org/10.1080/13600818.2014.980228
The Determinants of Zero Leverage: Evidence from Multinational Firms
Chatzivgeri, E., Sivaprasad, S. and Dontis-Charitos, P. 2015. The Determinants of Zero Leverage: Evidence from Multinational Firms. International Finance and Banking Society Corporate Finance Conference. Saïd Business School, University of Oxford, United Kingdom, 12 - 13 Sep 2015
The Determinants of Zero Leverage: Evidence from Multinational Firms
Chatzivgeri, E., Sivaprasad, S. and Dontis-Charitos, P. 2015. The Determinants of Zero Leverage: Evidence from Multinational Firms. 5th International Conference of the Financial Engineering and Banking Society. Nantes, France 11 - 13 Jun 2015
The value effects of changes in leverage: Evidence from the Travel and Leisure sector
Van Dellen, S., Sivaprasad, S. and Bas, T. 2015. The value effects of changes in leverage: Evidence from the Travel and Leisure sector. 22nd Annual Conference of the Multinational Finance Society. Halkidiki, Greece 28 Jun - 01 Jul 2015
An Investment Strategy Based on Leverage: Evidence from BSE 500
Sivaprasad, S. and D’Mello, L. 2015. An Investment Strategy Based on Leverage: Evidence from BSE 500. Journal of Emerging Market Finance. 14 (3), pp. 210-238. https://doi.org/10.1177/0972652715601910
How does a firm's capital structure affect stock performance?
Sivaprasad, S., Adami, R., Gough, O. and Muradoglu, Y.G. 2015. How does a firm's capital structure affect stock performance? Frontiers in Finance and Economics. 12 (1), pp. 1-31.
The Compliance costs of Value Added Tax (VAT): The case of the Republic of Mauritius
Juddoo, K. 2014. The Compliance costs of Value Added Tax (VAT): The case of the Republic of Mauritius. eJournal Tax research. 12 (2), p. 499.
An empirical analysis of the performance of pension funds: evidence from UK
Sivaprasad, S., Adami, R., Gough, O. and Mukherjee, S. 2014. An empirical analysis of the performance of pension funds: evidence from UK. Studies in Economics and Finance. 31 (2), pp. 141-155. https://doi.org/10.1108/SEF-10-2012-0118
The impact of leverage on stock returns in the hospitality sector: evidence from the UK
Muradoglu, Y.G. and Sivaprasad, S. 2014. The impact of leverage on stock returns in the hospitality sector: evidence from the UK. Tourism Analysis. 19 (2), pp. 161-171. https://doi.org/10.3727/108354214X13963557455603
Are there return and volatility spillovers from major bank stocks to the national stock market in the UK?
Dontis-Charitos, P., Gough, O., Nowman, K.B. and Sivaprasad, S. 2013. Are there return and volatility spillovers from major bank stocks to the national stock market in the UK? in: Jeon, B.N. and Olivero, M.P. (ed.) Global Banking, Financial Markets and Crises (International Finance Review, Vol. 14) Emerald Publishing Limited. pp. 243 - 268
Continuous and discrete time modelling of spillovers in equity and bond markets
Dontis-Charitos, P., Gough, O., Nowman, K.B. and Sivaprasad, S. 2013. Continuous and discrete time modelling of spillovers in equity and bond markets. International Journal of Bonds and Derivatives. 1 (1), pp. 54-87. https://doi.org/10.1504/IJBD.2013.056935
The effect of leverage mimicking portfolios in explaining stock returns variations
Sivaprasad, S. and Muradoglu, Y.G. 2013. The effect of leverage mimicking portfolios in explaining stock returns variations. Studies in Economics and Finance. 30 (2), pp. 94-107. https://doi.org/10.1108/10867371311325417
Capital structure and abnormal returns
Sivaprasad, S. and Muradoglu, Y.G. 2012. Capital structure and abnormal returns. International Business Review. 21 (3), pp. 328-341. https://doi.org/10.1016/j.ibusrev.2011.03.007
Using firm level leverage as an investment strategy
Muradoglu, Y.G. and Sivaprasad, S. 2012. Using firm level leverage as an investment strategy. Journal of Forecasting. 31 (3), pp. 260-279. https://doi.org/10.1002/for.1221
Capital structure and returns
Sivaprasad, S. and Muradoglu, Y.G. 2011. Capital structure and returns. in: Kent Baker, H. and Martin, G.S. (ed.) Capital structure & corporate financing decisions: theory, evidence, and practice Wiley. pp. 75-92
Permalink - https://westminsterresearch.westminster.ac.uk/item/w2xqx/an-impact-investment-strategy