sustainability Article Exploring Arbitrage Strategies in Corporate Social Responsibility Companies Estefanía Montoya-Cruz 1, José Pedro Ramos-Requena 1 , Juan Evangelista Trinidad-Segovia 1,* and Miguel Ángel Sánchez-Granero 2 1 Departamento de Economía y Empresa, Universidad de Almería, Carretera Sacramento, s/n, La Cañada de San Urbano, 04120 Almería, Spain;
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[email protected] (J.P.R.-R.) 2 Departamento de Matemáticas, Universidad de Almería, Carretera Sacramento, s/n, La Cañada de San Urbano, 04120 Almería, Spain;
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[email protected] Received: 6 July 2020; Accepted: 30 July 2020; Published: 5 August 2020 Abstract: Today, Socially Responsible financial investment has taken on particular importance. Investors normally select their most profitable investments, but over the years they have appreciated that companies develop Socially Responsible policies. Financial indices have also created Socially Responsible versions. In this paper, we run a statistical arbitrage technique known as Pairs Trading using stocks of the FTSE4GOOD Socially Responsible Index. Different strategies will be tested to demonstrate that there are no significant differences between the performance of the portfolio composed by Corporate Social Responsibility (CSR) stocks and those composed by ordinary stocks. Keywords: Corporate Social Responsibility; Hurst exponent; Pairs Trading; correlation; co-movement 1. Introduction Socially responsible investment (SRI) can be defined as decision making based on environmental and social criteria and not exclusively on financial results [1,2]. This type of investment can also be called ethical, green or sustainable investment [3]. Berlarsi et al. [4] has focused on whether the company’s financial situation can be improved by opting for a socially responsible policy.