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Socially responsible fixed-income funds

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Author Info

  • Derwall, Jeroen

    (Maastricht University)

  • Koedijk, Kees

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.

(This abstract was borrowed from another version of this item.)

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Bibliographic Info

Paper provided by Maastricht University in its series Open Access publications from Maastricht University with number urn:nbn:nl:ui:27-19771.

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Date of creation: 2009
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Publication status: Published in Journal of business finance & accounting (2009) v.36, p.210-229
Handle: RePEc:ner:maastr:urn:nbn:nl:ui:27-19771

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Web page: http://www.maastrichtuniversity.nl/web/Home.htm

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References

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  1. Blake, Christopher R & Elton, Edwin J & Gruber, Martin J, 1993. "The Performance of Bond Mutual Funds," The Journal of Business, University of Chicago Press, vol. 66(3), pages 370-403, July.
  2. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
  3. Derwall, Jeroen & Guenster, Nadja & Bauer, Rob & Koedijk, Kees, 2005. "The eco-efficiency premium puzzle," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19331, Maastricht University.
    • Derwall, J.M.M. & Günster, N.K. & Bauer, R. & Koedijk, C.G., 2004. "The Eco-Efficiency Premium Puzzle," Research Paper ERS-2004-043-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
  4. Shameek Konar & Mark A. Cohen, 2001. "Does The Market Value Environmental Performance?," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 281-289, May.
  5. Barnhill Jr., Theodore M. & Joutz, Frederick L. & Maxwell, William F., 2000. "Factors affecting the yields on noninvestment grade bond indices: a cointegration analysis," Journal of Empirical Finance, Elsevier, vol. 7(1), pages 57-86, May.
  6. Alexander Kempf & Peer Osthoff, 2008. "SRI Funds: Nomen est Omen," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9-10), pages 1276-1294.
  7. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
  8. Philpot, James, et al, 1998. "Active Management, Fund Size, and Bond Mutual Fund Returns," The Financial Review, Eastern Finance Association, vol. 33(2), pages 115-25, May.
  9. Schröder, Michael, 2005. "Is there a Difference? The Performance Characteristics of SRI Equity Indexes," ZEW Discussion Papers 05-50, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  10. Detzler, Miranda Lam, 1999. "The performance of global bond mutual funds," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1195-1217, August.
  11. Richard Cantor & Frank Packer, 1996. "Determinants and impacts of sovereign credit ratings," Research Paper 9608, Federal Reserve Bank of New York.
  12. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
  13. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
  14. Zakri Y. Bello, 2005. "Socially Responsible Investing And Portfolio Diversification," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 28(1), pages 41-57.
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Citations

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Cited by:
  1. Bastien Drut, 2009. "Sovereign Bonds and Socially Responsible Investment," Working Papers CEB 09-014.RS, ULB -- Universite Libre de Bruxelles.
  2. Rathner, Sebastian, 2012. "The Performance of Socially Responsible Investment Funds: A Meta-Analysis," Working Papers in Economics and Finance 2012-3, University of Salzburg.
  3. Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe, 2012. "The sustainability of mean-variance and mean-tracking error efficient portfolios," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/354104, Katholieke Universiteit Leuven.
  4. 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.
  5. Bert Scholtens, 2010. "The Environmental Performance of Dutch Government Bond Funds," Journal of Business Ethics, Springer, vol. 92(1), pages 117-130, April.
  6. Capelle-Blancard, Gunther & Monjon, Stéphanie, 2012. "The Performance of Socially Responsible Funds : Does the Screening Process Matter ?," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/7347, Université Paris-Dauphine.
  7. 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.

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