The Performance of Socially Responsible Investment Funds: A Meta-Analysis
AbstractEmpirical 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 InfoPaper provided by University of Salzburg in its series Working Papers in Economics and Finance with number 2012-3.
Length: 31 pages
Date of creation: 12 Mar 2012
Date of revision:
Corporate Social Responsibility (CSR); Ethical Investment; performance; Socially Responsible Investment (SRI); Sustainability;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- M14 - Business Administration and Business Economics; Marketing; Accounting - - Business Administration - - - Corporate Culture; Social Responsibility
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-21 (All new papers)
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