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Performance and Performance Persistence of Socially Responsible Investment Funds in Europe and North America

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  • Lean, Hooi Hooi
  • Ang, Wei Rong
  • Smyth, Russell

Abstract

We analyze, and compare, performance and performance persistence of Socially Responsible Investment (SRI) funds in Europe and North America. We use a broad sample of 500 European and 248 North American SRI funds for the period January 2001 - December 2011. We find that SRI funds outperform the market benchmark in Europe and North America over this period and that North American SRI funds perform better than European SRI funds. We find little evidence of performance persistence in either region using a ranked portfolio approach; however, there is more evidence of performance persistence in European SRI funds than in their North American counterparts using a non-parametric ranked portfolio approach.

Suggested Citation

  • Lean, Hooi Hooi & Ang, Wei Rong & Smyth, Russell, 2014. "Performance and Performance Persistence of Socially Responsible Investment Funds in Europe and North America," MPRA Paper 59119, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:59119
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    References listed on IDEAS

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    Cited by:

    1. Wei Rong Ang, 2015. "Sustainable investment in Korea does not catch a cold when the United States sneezes," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 5(1-2), pages 16-26, April.
    2. repec:eee:ecofin:v:47:y:2019:i:c:p:669-674 is not listed on IDEAS
    3. Lean, Hooi Hooi & Ang, Wei Rong & Smyth, Russell, 2015. "Performance and performance persistence of socially responsible investment funds in Europe and North America," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 254-266.
    4. repec:gam:jsusta:v:11:y:2019:i:5:p:1325-:d:210534 is not listed on IDEAS
    5. repec:taf:apeclt:v:24:y:2017:i:14:p:1005-1018 is not listed on IDEAS

    More about this item

    Keywords

    Performance Persistence; Socially Responsible Investment Funds; Carhart; Fama-French; Ranked Portfolio Approach; Contingency Table;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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