Value-based Investing in Central and Eastern European Countries (CEECs) - Based on the Companies Reflected in Socially Responsible Indices

The main objective of the study is to analyze value-based action indices listed on the stock exchanges of CEECs. Both value changes of these indices (passive portfolios) in respective years and the attempt to find determinants of these changes were analyzed. The scope of the analysis encompasses sustainable companies included in the CEERIUS, VONIX and RESPECT indices. Central and Eastern European socially responsible indices are relatively new on the market, therefore the study sample was limited to this three indices only. Consequently, not only was the composition of these indices analyzed but also their profitability and efficiency were measured. The rate of return and Sharpe ratios as well as modified Sharpe ratios, Sharpe -omega ratios, Sortino ratios, Omega ratios, RoVar for daily and weekly returns were also calculated. The consciousness of the processes influencing the effectiveness of socially responsible companies may be useful while considering the investment decision-making process. If socially responsible companies are ` rewarded' by achieving higher rates of return, then market mechanisms would have to be supported together with social awareness rather than strengthening legal and regulatory frameworks referring to sustainable development..