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Performances of socially responsible investment and environmentally friendly funds

Author

Listed:
  • Y Ito

    (Tohoku University, Sendai, Japan)

  • S Managi

    (Tohoku University, Sendai, Japan)

  • A Matsuda

    (Nomura Securities Co., Ltd, Tokyo, Japan)

Abstract

The socially responsible investment (SRI) funds performances remain inconclusive. Hence, more studies need to be conducted to determine if SRI funds systematically underperform or outperform conventional funds. This paper has employed dynamic mean-variance model using shortage function approach to evaluate the performance of SRI and Environmentally friendly funds (EF). Unlike the traditional methods, this approach estimates fund performance considering both the return and risk at the same time. The empirical results show that SRI funds outperformed conventional funds in EU and US. In addition, the results of EU are among the top-performing categories. EF do not perform as well as SRI, but perform in manners equal or superior to conventional funds. These results show statistically significant in some cases.

Suggested Citation

  • Y Ito & S Managi & A Matsuda, 2013. "Performances of socially responsible investment and environmentally friendly funds," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 64(11), pages 1583-1594, November.
    • Handle: RePEc:pal:jorsoc:v:64:y:2013:i:11:p:1583-1594
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    Cited by:

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    2. Maike van Dijk-de Groot & Andre H.J. Nijhof, 2015. "Socially Responsible Investment Funds: a review of research priorities and strategic options," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 5(3), pages 178-204, July.
    3. Nakai, Miwa & Yamaguchi, Keiko & Takeuchi, Kenji, 2016. "Can SRI funds better resist global financial crisis? Evidence from Japan," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 12-20.
    4. Cristiana Tudor, 2023. "Enhancing Sustainable Finance through Green Hydrogen Equity Investments: A Multifaceted Risk-Return Analysis," Risks, MDPI, vol. 11(12), pages 1-22, December.
    5. Julia M. Puaschunder, 2024. "Intertemporal Aspects of Keynes' Multiplier: On the Long-Term Benefits of Green Investments," RAIS Conference Proceedings 2022-2024 0380, Research Association for Interdisciplinary Studies.
    6. Allevi, E. & Basso, A. & Bonenti, F. & Oggioni, G. & Riccardi, R., 2019. "Measuring the environmental performance of green SRI funds: A DEA approach," Energy Economics, Elsevier, vol. 79(C), pages 32-44.
    7. Gbenga Ibikunle & Tom Steffen, 2017. "European Green Mutual Fund Performance: A Comparative Analysis with their Conventional and Black Peers," Journal of Business Ethics, Springer, vol. 145(2), pages 337-355, October.
    8. Som Sekhar Bhattacharyya & Sumi Jha & Dinesh Sharma, 2020. "Development of a Scale on Individual Perspectives on Corporate Social Responsibility Constructs: Based on Microfoundation Theory," Vision, , vol. 24(1), pages 47-59, March.
    9. Amelia Bilbao-Terol & Mar Arenas-Parra & Verónica Cañal-Fernández & Mariano Jiménez, 2016. "A sequential goal programming model with fuzzy hierarchies to sustainable and responsible portfolio selection problem," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 67(10), pages 1259-1273, October.
    10. Reboredo, Juan C. & Quintela, Miguel & Otero, Luis A., 2017. "Do investors pay a premium for going green? Evidence from alternative energy mutual funds," Renewable and Sustainable Energy Reviews, Elsevier, vol. 73(C), pages 512-520.
    11. Halcoussis, Dennis & Lowenberg, Anton D., 2019. "The effects of the fossil fuel divestment campaign on stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 669-674.

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    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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