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The Relative Performance of Socially Responsible Investment Funds. New Evidence from Austria


  • Rathner, Sebastian

    () (University of Salzburg)


The aim of this paper is to compare the financial performance of Austrian SRI funds to the performance of Austrian conventional funds. 43 SRI and 1395 conventional funds are found for the analysis. Jensen’s alpha and Carhart’s 4-factor alpha are used to evaluate fund performance. The results suggest that throughout the sample period from 02/1992 to 3/2012 there was not any performance difference between the two types of funds. However, more detailed results show that SRI equity (debt) funds significantly outperform (underperform) their conventional peers. SRI funds significantly outperform (underperform) conventional funds in the second (first) half of the sample period. Furthermore, signing up to the European SRI Transparency Code (as a proxy for SRI quality) as well as using a matching procedure influence the observed results.

Suggested Citation

  • Rathner, Sebastian, 2013. "The Relative Performance of Socially Responsible Investment Funds. New Evidence from Austria," Working Papers in Economics 2013-1, University of Salzburg.
  • Handle: RePEc:ris:sbgwpe:2013_001

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    References listed on IDEAS

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    More about this item


    Ethical investment; Investment fund performance; Socially Responsible Investment (SRI); Sustainability;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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