Constant and variable returns to scale DEA models for socially responsible investment funds
AbstractIn order to evaluate the performance of socially responsible investment (SRI) funds, we propose some models which use data envelopment analysis and can be computed in all phases of the business cycle. These models focus on the most crucial elements of an investment in mutual funds. In the literature both constant and variable returns to scale DEA models have been used to evaluate the performance of mutual funds. An empirical investigation carried out on European SRI equity funds indicates that for the funds analyzed the returns to scale are constant. Another aspect taken into account by the empirical investigation is the measurement of the degree of social responsibility of SRI equity funds in the various European countries. In addition, we have analyzed the performance of the funds considered with the different DEA models proposed, which differ in the way the ethical objective is taken into account. Moreover, the paper focuses on another crucial issue regarding socially responsible investing: the comparison of the performances between SRI and non SRI funds; the empirical study suggests that the ethical objective can be pursued without having to renounce financial rewards.
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 Department of Economics, University of Venice "Ca' Foscari" in its series Working Papers with number 2012_20.
Date of creation: 2012
Date of revision:
Contact details of provider:
Postal: Cannaregio, S. Giobbe no 873 , 30121 Venezia
Web page: http://www.unive.it/dip.economia
More information through EDIRC
Data envelopment analysis; Finance; Mutual fund performance evaluation; Socially responsible investing;
Find related papers by JEL classification:
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G1 - Financial Economics - - General Financial Markets
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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.:
- 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.
- N. Kreander & R.H. Gray & D.M. Power & C.D. Sinclair, 2005. "Evaluating the Performance of Ethical and Non-ethical Funds: A Matched Pair Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7-8), pages 1465-1493.
- 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.
- C. Edward Chang & H. Doug Witte, 2010. "Performance Evaluation of U.S. Socially Responsible Mutual Funds: Revisiting Doing Good and Doing Well," American Journal of Business, Emerald Group Publishing, vol. 25(1), pages 9-21.
- Angeles Fernandez-Izquierdo & Juan Matallin-Saez, 2008. "Performance of Ethical Mutual Funds in Spain: Sacrifice or Premium?," Journal of Business Ethics, Springer, vol. 81(2), pages 247-260, August.
- 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.
- Lamb, John D. & Tee, Kai-Hong, 2012. "Data envelopment analysis models of investment funds," European Journal of Operational Research, Elsevier, vol. 216(3), pages 687-696.
- Banker, Rajiv D. & Zheng, Zhiqiang (Eric) & Natarajan, Ram, 2010. "DEA-based hypothesis tests for comparing two groups of decision making units," European Journal of Operational Research, Elsevier, vol. 206(1), pages 231-238, October.
- 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.
- Kerstens, Kristiaan & Van de Woestyne, Ignace, 2009.
"Negative Data in DEA: A Simple Proportional Distance Function Approach,"
2009/04, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Kristiaan Kerstens & Ignace Van de Woestyne, 2009. "Negative Data in DEA: A Simple Proportional Distance Function Approach," Working Papers 2009-ECO-03, IESEG School of Management.
- Lovell, C. A. Knox & Pastor, Jesus T., 1999. "Radial DEA models without inputs or without outputs," European Journal of Operational Research, Elsevier, vol. 118(1), pages 46-51, October.
- Emrouznejad, Ali & Anouze, Abdel Latef & Thanassoulis, Emmanuel, 2010. "A semi-oriented radial measure for measuring the efficiency of decision making units with negative data, using DEA," European Journal of Operational Research, Elsevier, vol. 200(1), pages 297-304, January.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Geraldine Ludbrook).
If references are entirely missing, you can add them using this form.