Advanced Search
MyIDEAS: Login to save this article or follow this journal

Is there a Difference? The Performance Characteristics of SRI Equity Indices

Contents:

Author Info

  • Michael Schröder

Abstract

This 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-5957.2006.00647.x
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.

Volume (Year): 34 (2007-01)
Issue (Month): 1-2 ()
Pages: 331-348

as in new window
Handle: RePEc:bla:jbfnac:v:34:y:2007-01:i:1-2:p:331-348

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0306-686X

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Alan Gregory & John Matatko & Robert Luther, 1997. "Ethical Unit Trust Financial Performance: Small Company Effects and Fund Size Effects," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 24(5), pages 705-725.
  2. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, American Finance Association, vol. 52(1), pages 57-82, March.
  3. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 33(1), pages 3-56, February.
  4. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, American Finance Association, vol. 51(1), pages 55-84, March.
  5. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, Econometric Society, vol. 55(3), pages 703-08, May.
  6. Huberman, Gur & Kandel, Shmuel, 1987. " Mean-Variance Spanning," Journal of Finance, American Finance Association, American Finance Association, vol. 42(4), pages 873-88, September.
  7. Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, American Finance Association, vol. 51(2), pages 425-61, June.
  8. Admati, Anat R & Ross, Stephen A, 1985. "Measuring Investment Performance in a Rational Expectations Equilibrium Model," The Journal of Business, University of Chicago Press, vol. 58(1), pages 1-26, January.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Noor Hashim, 2008. "The FTSE Global Islamic and the Risk Dilemma," AIUB Bus Econ Working Paper Series AIUB-BUS-ECON-2008-08, American International University-Bangladesh, Office of Research and Publications (ORP), revised Mar 2008.
  2. Richard Copp & Michael L. Kremmer & Eduardo Roca, 2010. "Should funds invest in socially responsible investments during downturns?: Financial and legal implications of the fund manager's dilemma," Accounting Research Journal, Emerald Group Publishing, vol. 23(3), pages 254 - 266, November.
  3. Urs von Arx, 2005. "Principle guided investing: The use of negative screens and its implications for green investors," CER-ETH Economics working paper series 05/45, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  4. Oberndorfer, Ulrich & Schmidt, Peter & Wagner, Marcus & Ziegler, Andreas, 2013. "Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms," Journal of Environmental Economics and Management, Elsevier, vol. 66(3), pages 497-509.
  5. Jacquelyn Humphrey & David Tan, 2014. "Does it Really Hurt to be Responsible?," Journal of Business Ethics, Springer, Springer, vol. 122(3), pages 375-386, July.
  6. Janick Christian Mollet & Andreas Ziegler, 2012. "Is Socially Responsible Investing Really Beneficial? New Empirical Evidence for the US and European Stock Markets," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) 201228, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  7. Ziegler, Andreas & Schröder, Michael, 2010. "What determines the inclusion in a sustainability stock index?: A panel data analysis for european firms," Ecological Economics, Elsevier, vol. 69(4), pages 848-856, February.
  8. Hooi Hooi Lean & Duc Khuong Nguyen, 2014. "Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis," Working Papers 2014-295, Department of Research, Ipag Business School.
  9. Abdelbari El Khamlichi & Mohamed Arouri & Frédéric Teulon, 2014. "Persistence of Performance Using the Four-Factor Pricing Model: Evidence from Dow Jones Islamic Index," Working Papers 2014-216, Department of Research, Ipag Business School.
  10. Edmans, Alex, 2011. "Does the stock market fully value intangibles? Employee satisfaction and equity prices," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(3), pages 621-640, September.
  11. Alex Edmans & Lucius Li & Chendi Zhang, 2014. "Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World," NBER Working Papers 20300, National Bureau of Economic Research, Inc.
  12. David Collison & George Cobb & David Power & Lorna Stevenson, 2009. "FTSE4Good: exploring its implications for corporate conduct," Accounting, Auditing & Accountability Journal, Emerald Group Publishing, Emerald Group Publishing, vol. 22(1), pages 35-58, January.
  13. Ulrich Oberndorfer & Marcus Wagner & Andreas Ziegler, 2011. "Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) 201130, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  14. Janusz Brzeszczyński & Graham McIntosh, 2014. "Performance of Portfolios Composed of British SRI Stocks," Journal of Business Ethics, Springer, Springer, vol. 120(3), pages 335-362, March.
  15. Andreas Ziegler, 2012. "Is it Beneficial to be Included in a Sustainability Stock Index? A Panel Data Study for European Firms," Environmental & Resource Economics, European Association of Environmental and Resource Economists, European Association of Environmental and Resource Economists, vol. 52(3), pages 301-325, July.
  16. Gunther Capelle-Blancard & Stéphanie Monjon, 2011. "The Performance of Socially Responsible Funds: Does the Screening Process Matter?," Working Papers 2011-12, CEPII research center.
  17. Konstantina Kappou & Ioannis Oikonomou, 2012. "Is there a Gold Social Seal? The Financial Effects of Additions to and Deletions from Social Stock Indices," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2012-10, Henley Business School, Reading University.
  18. Janusz Brzeszczynski & Graham McIntosh, 2012. "Performance of Portfolios Composed of British SRI Stocks," CFI Discussion Papers, Centre for Finance and Investment, Heriot Watt University 1204, Centre for Finance and Investment, Heriot Watt University.
  19. Ortas, Eduardo & Moneva, José M. & Salvador, Manuel, 2012. "Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil," Emerging Markets Review, Elsevier, Elsevier, vol. 13(4), pages 581-597.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:jbfnac:v:34:y:2007-01:i:1-2:p:331-348. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.