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The Performance of Socially Responsible Investment Funds: A Meta-Analysis

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  • Rathner, Sebastian

    () (University of Salzburg)

Abstract

Empirical studies, which analyse the performance of Socially Responsible Investment (SRI) funds relative to conventional funds, find contradictory results. The aim of this paper is to investigate, with the help of a meta-analysis, how selected primary study characteristics influence the probability of a significant under- or outperformance of SRI funds compared with conventional funds. 25 studies with more than 500 observations are included in the meta-analysis. The results of this paper suggest that the consideration of the survivorship bias in a study increases (decreases) the probability of a significant outperformance (underperformance) of SRI funds relative to conventional funds. The focus on United States (US) SRI funds increases (decreases) the probability of a significant outperformance (underperformance) too. The time period influences the probability of a significant under- and outperformance of SRI funds as well, but based on the results of this paper, it is not possible to draw general conclusions on this variable.

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Bibliographic Info

Paper provided by University of Salzburg in its series Working Papers in Economics and Finance with number 2012-3.

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Length: 31 pages
Date of creation: 12 Mar 2012
Date of revision:
Handle: RePEc:ris:sbgwpe:2012_003

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Related research

Keywords: Corporate Social Responsibility (CSR); Ethical Investment; performance; Socially Responsible Investment (SRI); Sustainability;

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  1. 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.
  2. Oberhofer, Harald & Philippovich, Tassilo & Winner, Hannes, 2010. "Distance matters in away games: Evidence from the German football league," Journal of Economic Psychology, Elsevier, vol. 31(2), pages 200-211, April.
  3. Leiter, Andrea & Thöni, Magdalena & Winner, Hannes, 2012. "Evaluating human life using court decisions on damages for pain and suffering," International Review of Law and Economics, Elsevier, vol. 32(1), pages 119-128.
  4. Derwall, Jeroen & Koedijk, Kees, 2009. "Socially responsible fixed-income funds," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19771, Maastricht University.
  5. Andrea Chegut & Hans Schenk & Bert Scholtens, 2011. "Assessing SRI fund performance research: Best practices in empirical analysis," Sustainable Development, John Wiley & Sons, Ltd., vol. 19(2), pages 77-94, March/Apr.
  6. 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.
  7. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
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