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Socially Responsible Fixed-Income Funds

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Author Info

  • Jeroen Derwall
  • Kees Koedijk

Abstract

The growing importance of SRI in the investment arena has resulted in considerable academic interest in the performance of socially responsible equity mutual funds. Remarkably, no attempts have been made to evaluate the performance of mutual funds that invest in socially responsible fixed-income securities. This study fills that gap by measuring the performance of socially responsible bond and balanced funds relative to matched samples of conventional funds, over the period 1987-2003. Using multi-index performance evaluation models, we show that the average SRI bond fund performed similar to conventional funds, while the average SRI balanced fund outperformed its conventional peers by more than 1.3% per year. The expenses charged by SRI funds, match those charged by conventional funds and, evidently, do not cause SRI funds to underperform. Copyright (c) 2009 The Authors Journal compilation (c) 2009 Blackwell Publishing Ltd.

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Bibliographic Info

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

Volume (Year): 36 (2009-01)
Issue (Month): 1-2 ()
Pages: 210-229

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Handle: RePEc:bla:jbfnac:v:36:y:2009-01:i:1-2:p:210-229

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

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Cited by:
  1. Julia Lackmann & Jürgen Ernstberger & Michael Stich, 2012. "Market Reactions to Increased Reliability of Sustainability Information," Journal of Business Ethics, Springer, vol. 107(2), pages 111-128, May.
  2. Bastien Drut, 2009. "Sovereign Bonds and Socially Responsible Investment," Working Papers CEB 09-014.RS, ULB -- Universite Libre de Bruxelles.
  3. Leite, Paulo & Cortez, Maria Céu, 2014. "Style and performance of international socially responsible funds in Europe," Research in International Business and Finance, Elsevier, vol. 30(C), pages 248-267.
  4. Sebastian Rathner, 2013. "The Influence of Primary Study Characteristics on the Performance Differential Between Socially Responsible and Conventional Investment Funds: A Meta-Analysis," Journal of Business Ethics, Springer, vol. 118(2), pages 349-363, December.
  5. Johan, S.A. & Cumming, D., 2006. "Corporate social responsibility: domestic and international private equity institutional investment," Discussion Paper 2006-002, Tilburg University, Tilburg Law and Economic Center.
  6. Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe, 2013. "The impact of a sustainability constraint on the mean-tracking error efficient frontier," Economics Letters, Elsevier, vol. 119(3), pages 255-260.
  7. Capelle-Blancard, Gunther & Monjon, Stéphanie, 2014. "The Performance of Socially Responsible Funds : Does the Screening Process Matter ?," Economics Papers from University Paris Dauphine 123456789/7347, Paris Dauphine University.
  8. Bert Scholtens, 2010. "The Environmental Performance of Dutch Government Bond Funds," Journal of Business Ethics, Springer, vol. 92(1), pages 117-130, April.
  9. Rathner, Sebastian, 2012. "The Performance of Socially Responsible Investment Funds: A Meta-Analysis," Working Papers in Economics and Finance 2012-3, University of Salzburg.
  10. Matthew Hood & John Nofsinger & Abhishek Varma, 2014. "Conservation, Discrimination, and Salvation: Investors’ Social Concerns in the Stock Market," Journal of Financial Services Research, Springer, vol. 45(1), pages 5-37, February.
  11. Francisco Climent & Pilar Soriano, 2011. "Green and Good? The Investment Performance of US Environmental Mutual Funds," Journal of Business Ethics, Springer, vol. 103(2), pages 275-287, October.
  12. Hélène Pasquini-Descomps & Frédéric Teulon, 2014. "What is the perception of corporate social responsibility for fund managers in Switzerland?," Working Papers 2014-097, Department of Research, Ipag Business School.
  13. Rathner, Sebastian, 2013. "The Relative Performance of Socially Responsible Investment Funds. New Evidence from Austria," Working Papers in Economics and Finance 2013-1, University of Salzburg.

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