Is there a Difference? The Performance Characteristics of SRI Equity Indices
AbstractThis study analyses whether stock indices that represent socially responsible investments (SRI) exhibit a different performance compared to conventional benchmark indices. In contrast to other studies, the analysis concentrates on SRI indices and not on investment funds. This has several advantages, since transaction costs of funds, the timing activities and the skill of the fund management do not have to be considered. A direct measure of the performance effects of SRI screens is therefore examined. The 29 SRI stock indices are analysed by single-equation models as well as by multi-equation systems that exploit the information in the cross-section. SRI stock indices do not exhibit a different level of risk-adjusted return than conventional benchmarks. But many SRI indices have a higher risk relative to the benchmarks. The findings are robust to the use of different benchmark indices and apply to all common types of SRI screening. Copyright 2007 The Author Journal compilation (c) 2007 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.
Volume (Year): 34 (2007-01)
Issue (Month): 1-2 ()
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Other versions of this item:
- Schröder, Michael, 2005. "Is there a Difference? The Performance Characteristics of SRI Equity Indexes," ZEW Discussion Papers 05-50, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- M14 - Business Administration and Business Economics; Marketing; Accounting - - Business Administration - - - Corporate Culture; Social Responsibility
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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