Risk-return of Belgian SRI funds
AbstractWe analyse the risk-return profile of Belgian SRI funds versus conventional investment funds. We apply a four-factor conditional Carhart model to establish whether there are significant differences in risk-return profile between an SRI portfolio and a conventional portfolio and test for learning effects in SRI funds. We show that there is no difference in risk-return profile between SRI and conventional funds. If return is not the problem, then what is it that limits the development of an SRI retail market in Belgium? We conclude with a short digression on this question.
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Bibliographic InfoPaper provided by Hogeschool-Universiteit Brussel, Faculteit Economie en Management in its series Working Papers with number 2007/04.
Length: 14 pages
Date of creation: 27 Apr 2007
Date of revision:
SRI investment funds; risk-return analysis; Markowitz versus Moskowitz puzzle;
Other versions of this item:
- Van Liedekerke, Luc & De Moor, Lieven & Vanwalleghem, D, 2007. "Risk-return of Belgian SRI funds," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/120455, Katholieke Universiteit Leuven.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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