Performance of Social Pillar-Based Portfolio in Developing Capital Market

Research Question: This study examined the preconditions and efficiency of socially responsible investing (SRI) in developing capital market, specifically Belgrade Stock Exchange (BSE). Motivation: Considering increasing trend SRI (GSIA, 2020) importance information on corporate social responsibility (CSR) to investors (Miralles‐Quiros, Miralles‐Quiros, & Arraiano, 2017), especially issues (Giese, Nagy, Lee, 2021), we explored influence applying criteria asset selection investment portfolio performance at BSE. builds existing literature that is mostly focused developed markets Europe, United States Canada (Von Wallis Klein, 2015) by analysing issue market. The provided setup for driven structuring based market trends disclosure proved be efficient long-term. Idea: core idea this paper was analyse terms empirically evaluate pillar-based BSE order provide evidence support markets. structure portfolios set using best-in-class strategy, while classes were determined basis stocks’ return trends. Data: analysis conducted trading data from financial non-financial reports companies listed Tools: Cluster used classification stocks, performances evaluated implementing return, volatility risk-adjusted measures. Findings: outperformed conventional one benchmarking indices observed five-year period. However, mixed results obtained short-term indicating specific effects CSR practice could still obscured. Contribution: expands research related offers practical recommendations potential conscious investors.