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Performances of socially responsible investment and environmentally friendly funds

  • Y Ito

    (Tohoku University, Sendai, Japan)

  • S Managi

    (Tohoku University, Sendai, Japan)

  • A Matsuda

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

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.

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Article provided by Palgrave Macmillan in its journal Journal of the Operational Research Society.

Volume (Year): 64 (2013)
Issue (Month): 11 (November)
Pages: 1583-1594

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Handle: RePEc:pal:jorsoc:v:64:y:2013:i:11:p:1583-1594
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