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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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
- 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
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Ruiyue Lin & Zhiping Chen, 2008. "New Dea Performance Evaluation Indices And Their Applications In The American Fund Market," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 25(04), pages 421-450.
- Capelle-Blancard, Gunther & Laguna, Marie-Aude, 2010. "How does the stock market respond to chemical disasters?," Economics Papers from University Paris Dauphine 123456789/3187, Paris Dauphine University.
- Alexander Kempf & Peer Osthoff, 2007. "The Effect of Socially Responsible Investing on Portfolio Performance," European Financial Management, European Financial Management Association, vol. 13(5), pages 908-922.
- Finn R. Førsund & Nikias Sarafoglou, 2005.
"The Tale of Two research Communities: The Diffusion of Research on Productive Efficiency,"
Department of Economics University of Siena
446, Department of Economics, University of Siena.
- Forsund, Finn R. & Sarafoglou, Nikias, 2005. "The tale of two research communities: The diffusion of research on productive efficiency," International Journal of Production Economics, Elsevier, vol. 98(1), pages 17-40, October.
- Førsund, Finn R. & Sarafoglou, Nikias, 2003. "The Tale of two Research Communities: The Diffusion of Research on Productive Efficiency," Memorandum 08/2003, Oslo University, Department of Economics.
- Luenberger, David G., 1992. "Benefit functions and duality," Journal of Mathematical Economics, Elsevier, vol. 21(5), pages 461-481.
- Shunsuke Managi & Tatsuyoshi Okimoto & Akimi Matsuda, 2012.
"Do socially responsible investment indexes outperform conventional indexes?,"
Applied Financial Economics,
Taylor and Francis Journals, vol. 22(18), pages 1511-1527, September.
- Managi, Shunsuke & Okimoto, Tatsuyoshi & Matsuda, Akimi, 2012. "Do Socially Responsible Investment Indexes Outperform Conventional Indexes?," MPRA Paper 36662, University Library of Munich, Germany.
- Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "Socially responsible investments: Institutional aspects, performance, and investor behavior," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1723-1742, September.
- Bauer, Rob & Otten, Róger & Tourani-Rad, Alireza, 2006. "Ethical investing in Australia: is there a financial penalty?," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19319, Maastricht University.
- Capelle-Blancard, Gunther & Laguna, Marie-Aude, 2010.
"How does the stock market respond to chemical disasters?,"
Journal of Environmental Economics and Management,
Elsevier, vol. 59(2), pages 192-205, March.
- Marie-Aude Laguna & Gunther Capelle-Blancard, 2010. "How Does the Stock Market Respond to Chemical Disasters?," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00637961, HAL.
- Daraio, Cinzia & Simar, Leopold, 2006. "A robust nonparametric approach to evaluate and explain the performance of mutual funds," European Journal of Operational Research, Elsevier, vol. 175(1), pages 516-542, November.
- Galema, Rients & Plantinga, Auke & Scholtens, Bert, 2008. "The stocks at stake: Return and risk in socially responsible investment," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2646-2654, December.
- Seiford, Lawrence M. & Thrall, Robert M., 1990. "Recent developments in DEA : The mathematical programming approach to frontier analysis," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 7-38.
- Bauer, Rob & Derwall, Jeroen & Otten, Róger, 2007.
"The ethical mutual fund performance debate: new evidence from Canada,"
Open Access publications from Maastricht University
urn:nbn:nl:ui:27-19324, Maastricht University.
- Rob Bauer & Jeroen Derwall & RogÃ©r Otten, 2007. "The Ethical Mutual Fund Performance Debate: New Evidence from Canada," Journal of Business Ethics, Springer, vol. 70(2), pages 111-124, January.
- Bauer, Rob & Otten, Rogér & Rad, Alireza Tourani, 2006. "Ethical investing in Australia: is there a financial penalty?," Open Access publications from Maastricht University urn:nbn:nl:ui:27-20509, Maastricht University.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
- repec:hal:journl:halshs-00637961 is not listed on IDEAS
- Morey, Matthew R. & Morey, Richard C., 1999. "Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking," Omega, Elsevier, vol. 27(2), pages 241-258, April.
- 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.
- Bauer, Rob & Otten, Roger & Rad, Alireza Tourani, 2006. "Ethical investing in Australia: Is there a financial penalty?," Pacific-Basin Finance Journal, Elsevier, vol. 14(1), pages 33-48, January.
- Bauer, Rob & Koedijk, Kees & Otten, Róger, 2005. "International evidence on ethical mutual fund performance and investment style," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19330, Maastricht University.
- Briec, Walter & Kerstens, Kristiaan, 2009. "Multi-horizon Markowitz portfolio performance appraisals: A general approach," Omega, Elsevier, vol. 37(1), pages 50-62, February.
- Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "The price of ethics and stakeholder governance: The performance of socially responsible mutual funds," Journal of Corporate Finance, Elsevier, vol. 14(3), pages 302-322, June.
- Alan Gregory & John Matatko & Robert Luther, 1997. "Ethical Unit Trust Financial Performance: Small Company Effects and Fund Size Effects," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(5), pages 705-725.
- Bauer, Rob & Koedijk, Kees & Otten, Roger, 2005. "International evidence on ethical mutual fund performance and investment style," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1751-1767, July.
- Basso, Antonella & Funari, Stefania, 2001. "A data envelopment analysis approach to measure the mutual fund performance," European Journal of Operational Research, Elsevier, vol. 135(3), pages 477-492, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.