The Relative Performance of Socially Responsible Investment Funds. New Evidence from Austria
AbstractThe aim of this paper is to compare the financial performance of Austrian SRI funds to the performance of Austrian conventional funds. 43 SRI and 1395 conventional funds are found for the analysis. Jensen’s alpha and Carhart’s 4-factor alpha are used to evaluate fund performance. The results suggest that throughout the sample period from 02/1992 to 3/2012 there was not any performance difference between the two types of funds. However, more detailed results show that SRI equity (debt) funds significantly outperform (underperform) their conventional peers. SRI funds significantly outperform (underperform) conventional funds in the second (first) half of the sample period. Furthermore, signing up to the European SRI Transparency Code (as a proxy for SRI quality) as well as using a matching procedure influence the observed results.
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Bibliographic InfoPaper provided by University of Salzburg in its series Working Papers in Economics and Finance with number 2013-1.
Length: 28 pages
Date of creation: 11 Mar 2013
Date of revision:
Ethical investment; Investment fund performance; Socially Responsible Investment (SRI); Sustainability;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- M14 - Business Administration and Business Economics; Marketing; Accounting - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-16 (All new papers)
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