기업의 사회적 책임을 이용한 투자전략의 성과분석

Many researchers have interests on the CSR activities of firms and investigate whymanagers try to perform them. Previous studies show that CSR is positively associated firmvalue. there are a few hypotheses which explain the relation between them. In investment onstocks, The investment strategy of buying stock with more friendly with CSR is popular. SRIfunds are expanding in many countries. In Korea stock market, SRI funds are operated. A fewresearchers examined the performance of SRI fund by comparing thoseSome find that SRI funds outperform conventional funds or benchmark such as KOSPI. Theothers do not find significant difference between them. Studies about SRI limited theperformance of SRI fund. It is not easy to judge that investment strategy based on CSR isefficient because the performance of SRI fund is affected by other factors such as fundmanager skill, operation skill etc. This study try to find the effectiveness of investment tradingstrategy using CSR by general CSR scores which are evaluated by KEJI. We perform tradingstrategy based on CSR score such as momentum strategy. Zero cost portfolio is constructed atevery year, buying stocks with high CSR scores and selling stocks with low CSR scores. Ifthis strategy using CSR score is significant, this hedge portfolio shows the positive profit. Unfortunately there are no empirical evidences of the profitability based on this strategy. Inaddition, we try to construct the zero-cost portfolio using KEJI index growth rate which ismeasured as (KEJI indext-1-KEJI indext-2)/KEJI indext-1 instead of KEJI index. Raw return isincreased although insignificant and risk-adjusted return show significantly positive return. Judging from these result, trading strategy based on CSR scores shows a chance of theprofitability in Korean stock market.