Performances of Socially Responsible Investment and Environmentally Friendly Funds
AbstractThe SRI funds performances remain inconclusive. Hence, more studies need to be conducted to determine if SRI funds systematically underperform or outperform conventional funds. This paper has employed dynamic mean-variance model using shortage function approach to evaluate the performance of SRI and Environmentally friendly funds. Unlike the traditional methods, this approach estimate fund performance considering both the return and risk at the same time. The empirical results show that SRI funds outperformed conventional funds in EU and U.S. In addition, the results of EU are among the top-performing categories. Environmentally friendly funds do not perform as well as SRI, but perform in manners equal or superior to conventional funds. These results show statistically significant in some cases.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 40654.
Date of creation: 15 Aug 2012
Date of revision:
Socially responsible investment fund; Environmentally friendly fund; Fund performance; Mean-variance model;
Other versions of this item:
- Y Ito & S Managi & A Matsuda, 2013. "Performances of socially responsible investment and environmentally friendly funds," Journal of the Operational Research Society, Palgrave Macmillan, vol. 64(11), pages 1583-1594, November.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
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