"Revisión de la Inversión Sustentable en La Bolsa Mexicana Durante Periodos de Crisis "

Abstract

The present paper studies the mean-variance efficiency of sustainable investment (SI) in Mexico by testing the IPC sustainability (IPCS) index againts the broad market IPCcomp one. Using daily index values from november 2008 to September 2014, along with a standard CAPM Model, a Huberman and Kandel (1987) CAPM spanning test and an AR(0) Markov-Switching Model, the present study shows a statistically equal performance between the IPCS and the IPCcomp, suggesting SI (as investment style) as a good substitute of the broad market one without a significant loss of mean-variance efficiency. The two breakthroughs of the present paper are 1) these tests are the first onesof its type in the Mexican Sustainable investment and 2) The fact that our conclusions five support to SI in the presence of two volatility remimes.