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Performance Of Socially Responsible Mutual Funds

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  • Linda Yu

Abstract

This study examines the performance of socially responsible mutual funds from 1999 to 2009. To minimize the benchmark error, we apply propensity-score-matching method to identify a most comparable conventional fund for every socially responsible fund based on several key fund characteristics. We find that return of socially responsible mutual funds are lower than conventional funds before applying the propensity-score-matching method. However, comparing to the propensity-score-matched funds, socially responsible mutual funds have a superior return on both average and risk-adjust returns. Further analysis shows that the superior return of socially responsible funds over propensity-score-matched funds only exists in the funds satisfying social and governance screening criteria.

Suggested Citation

  • Linda Yu, 2014. "Performance Of Socially Responsible Mutual Funds," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 8(3), pages 9-17.
    • Handle: RePEc:ibf:gjbres:v:8:y:2014:i:3:p:9-17
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    References listed on IDEAS

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    Cited by:

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    2. Angeloantonio Russo & Massimo Mariani & Francesco Perrini, 2016. "Cherry Picking or Depth-Oriented Strategic Investing? Evidence from SRI Activity," International Journal of Business and Management, Canadian Center of Science and Education, vol. 11(11), pages 1-13, October.
    3. Onur Kemal Tosun, 2017. "Is corporate social responsibility sufficient enough to explain the investment by socially responsible funds?," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 697-726, October.
    4. Fernando García & Jairo González-Bueno & Javier Oliver & Nicola Riley, 2019. "Selecting Socially Responsible Portfolios: A Fuzzy Multicriteria Approach," Sustainability, MDPI, vol. 11(9), pages 1-14, April.

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    More about this item

    Keywords

    Socially Responsible Investing; Mutual Funds; Propensity-Score-Matching;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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