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Is socially responsible investing just screening? Evidence from mutual funds

Author

Listed:
  • Markus Hirschberger
  • Ralph E. Steuer
  • Sebastian Utz
  • Maximilian Wimmer

Abstract

This paper presents the results of an empirical study concerning conventional and socially responsible mutual funds.We apply a sophisticated operations research algorithm embedded in inverse portfolio optimization on financial market data, ESG-scores and CRSP fund data. Due to our results we cannot find strong evidence of di erences between conventional and socially responsible mutual funds. In particular, the calculated risk tolerance parameters describing the real portfolio composition best show that socially responsible mutual funds may be even less concerned about the ESG-scores in the preference functional than conventional funds.

Suggested Citation

  • Markus Hirschberger & Ralph E. Steuer & Sebastian Utz & Maximilian Wimmer, 2012. "Is socially responsible investing just screening? Evidence from mutual funds," SFB 649 Discussion Papers SFB649DP2012-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    • Handle: RePEc:hum:wpaper:sfb649dp2012-025
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    File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-025.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Socially Responsible Investing; Inverse Portfolio Selection;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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