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Risk-return of Belgian SRI funds

Author

Listed:
  • Van Liedekerke, Luc

    (Katholieke Universiteit Leuven, Belgium)

  • De Moor, Lieven

    (Hogeschool-Universiteit Brussel (HUB), Belgium)

  • Vanwalleghem, Dieter

    (University of Oxford, Oxford, United Kingdom)

Abstract

We analyse the risk-return profile of Belgian SRI funds versus conventional investment funds. We apply a four-factor conditional Carhart model to establish whether there are significant differences in risk-return profile between an SRI portfolio and a conventional portfolio and test for learning effects in SRI funds. We show that there is no difference in risk-return profile between SRI and conventional funds. If return is not the problem, then what is it that limits the development of an SRI retail market in Belgium? We conclude with a short digression on this question.

Suggested Citation

  • Van Liedekerke, Luc & De Moor, Lieven & Vanwalleghem, Dieter, 2007. "Risk-return of Belgian SRI funds," Working Papers 2007/04, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    • Handle: RePEc:hub:wpecon:200704
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    File URL: http://lirias.hubrussel.be/handle/123456789/2175
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    Cited by:

    1. Jędrzej Białkowski & Anna Sławik, 2021. "Do investors respond to changes in the composition of sustainability indices?," Bank i Kredyt, Narodowy Bank Polski, vol. 52(4), pages 319-338.
    2. Francisco José López-Arceiz & Ana José Bellostas-Pérezgrueso & José Mariano Moneva, 2018. "Evaluation of the Cultural Environment’s Impact on the Performance of the Socially Responsible Investment Funds," Journal of Business Ethics, Springer, vol. 150(1), pages 259-278, June.
    3. Sebastian Rathner, 2013. "The Influence of Primary Study Characteristics on the Performance Differential Between Socially Responsible and Conventional Investment Funds: A Meta-Analysis," Journal of Business Ethics, Springer, vol. 118(2), pages 349-363, December.
    4. Blankenberg, Ann-Kathrin & Gottschalk, Jonas F. A., 2018. "Is socially responsible investing (SRI) in stocks a competitive capital investment? A comparative analysis based on the performance of sustainable stocks," University of Göttingen Working Papers in Economics 349, University of Goettingen, Department of Economics.

    More about this item

    Keywords

    SRI investment funds; risk-return analysis; Markowitz versus Moskowitz puzzle;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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