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Constant and variable returns to scale DEA models for socially responsible investment funds


  • Antonella Basso

    () (Department of Economics, University Of Venice C� Foscari)

  • Stefania Funari

    (Department of Management, University of Venice C� Foscari)


In order to evaluate the performance of socially responsible investment (SRI) funds, we propose some models which use data envelopment analysis and can be computed in all phases of the business cycle. These models focus on the most crucial elements of an investment in mutual funds. In the literature both constant and variable returns to scale DEA models have been used to evaluate the performance of mutual funds. An empirical investigation carried out on European SRI equity funds indicates that for the funds analyzed the returns to scale are constant. Another aspect taken into account by the empirical investigation is the measurement of the degree of social responsibility of SRI equity funds in the various European countries. In addition, we have analyzed the performance of the funds considered with the different DEA models proposed, which differ in the way the ethical objective is taken into account. Moreover, the paper focuses on another crucial issue regarding socially responsible investing: the comparison of the performances between SRI and non SRI funds; the empirical study suggests that the ethical objective can be pursued without having to renounce financial rewards.

Suggested Citation

  • Antonella Basso & Stefania Funari, 2012. "Constant and variable returns to scale DEA models for socially responsible investment funds," Working Papers 2012_20, Department of Economics, University of Venice "Ca' Foscari".
  • Handle: RePEc:ven:wpaper:2012_20

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    References listed on IDEAS

    1. Bastien Drut, 2010. "Sovereign Bonds and Socially Responsible Investment," Journal of Business Ethics, Springer, vol. 92(1), pages 131-145, April.
    2. Basso, Antonella & Funari, Stefania, 2001. "A data envelopment analysis approach to measure the mutual fund performance," European Journal of Operational Research, Elsevier, vol. 135(3), pages 477-492, December.
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    4. Lovell, C. A. Knox & Pastor, Jesus T., 1999. "Radial DEA models without inputs or without outputs," European Journal of Operational Research, Elsevier, vol. 118(1), pages 46-51, October.
    5. Kristiaan Kerstens & Ignace Van de Woestyne, 2009. "Negative Data in DEA: A Simple Proportional Distance Function Approach," Working Papers 2009-ECO-03, IESEG School of Management.
    6. Banker, Rajiv D. & Zheng, Zhiqiang (Eric) & Natarajan, Ram, 2010. "DEA-based hypothesis tests for comparing two groups of decision making units," European Journal of Operational Research, Elsevier, vol. 206(1), pages 231-238, October.
    7. Yoon K. Choi & B.P.S. Murthi, 2001. "Relative Performance Evaluation of Mutual Funds: A Non-Parametric Approach," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(7&8), pages 853-876.
    8. Emrouznejad, Ali & Anouze, Abdel Latef & Thanassoulis, Emmanuel, 2010. "A semi-oriented radial measure for measuring the efficiency of decision making units with negative data, using DEA," European Journal of Operational Research, Elsevier, vol. 200(1), pages 297-304, January.
    9. Rob Bauer & Jeroen Derwall & Rogér Otten, 2007. "The Ethical Mutual Fund Performance Debate: New Evidence from Canada," Journal of Business Ethics, Springer, vol. 70(2), pages 111-124, January.
    10. Kerstens, Kristiaan & Mounir, Amine & de Woestyne, Ignace Van, 2011. "Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1190-1201, May.
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    Cited by:

    1. repec:gam:jsusta:v:8:y:2016:i:4:p:324:d:67033 is not listed on IDEAS
    2. Shihong Zeng & Mimi Hu & Bin Su, 2016. "Research on Investment Efficiency and Policy Recommendations for the Culture Industry of China Based on a Three-Stage DEA," Sustainability, MDPI, Open Access Journal, vol. 8(4), pages 1-15, March.
    3. repec:spr:annopr:v:253:y:2017:i:1:d:10.1007_s10479-016-2294-1 is not listed on IDEAS
    4. Antonella Basso & Stefania Funari, 2014. "The role of fund size in the performance of mutual funds assessed with DEA models," Working Papers 18, Department of Management, Università Ca' Foscari Venezia.
    5. Hooi Hooi Lean & Duc Khuong Nguyen, 2014. "Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 24(21), pages 1367-1373, November.
    6. repec:eee:spacre:v:19:y:2016:i:1:p:55-76 is not listed on IDEAS
    7. repec:eee:jomega:v:73:y:2017:i:c:p:104-113 is not listed on IDEAS
    8. Gasser, Stephan M. & Rammerstorfer, Margarethe & Weinmayer, Karl, 2017. "Markowitz revisited: Social portfolio engineering," European Journal of Operational Research, Elsevier, vol. 258(3), pages 1181-1190.
    9. repec:spr:annopr:v:247:y:2016:i:2:d:10.1007_s10479-015-1947-9 is not listed on IDEAS

    More about this item


    Data envelopment analysis; Finance; Mutual fund performance evaluation; Socially responsible investing;

    JEL classification:

    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • G1 - Financial Economics - - General Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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