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Socially responsible and conventional investment funds: performance comparison and the global financial crisis

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  • Leonardo Becchetti
  • Rocco Ciciretti
  • Ambrogio Dalò
  • Stefano Herzel

Abstract

We investigate the performance of socially responsible funds (SRFs) and conventional funds (CFs) in different market (geographical area and class size) segments during the period 1992-2012. From an unbalanced sample of more than 22 000 funds, we define a matched sample using a beta-distance measure to match any SRF with the 'nearest neighbour' CF in terms of sensitivity to risk factors. Using this matching approach and a recursive analysis, we identify several switch points in the lead/lag relationship between the two investment styles over time in different market segments. A relevant finding of our analysis is that SRFs played an 'insurance role' outperforming CFs during the 2007 global financial crisis.

Suggested Citation

  • Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalò & Stefano Herzel, 2015. "Socially responsible and conventional investment funds: performance comparison and the global financial crisis," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2541-2562, May.
    • Handle: RePEc:taf:applec:v:47:y:2015:i:25:p:2541-2562
    DOI: 10.1080/00036846.2014.1000517
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    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F30 - International Economics - - International Finance - - - General
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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