IDEAS home Printed from https://ideas.repec.org/p/vnm/wpaper/201.html
   My bibliography  Save this paper

Relative performance of SRI equity funds: An analysis of European funds using Data Envelopment Analysis

Author

Listed:
  • Antonella Basso

    (Dept. of Applied Mathematics, University Ca' Foscari of Venice and SSAV)

  • Stefania Funari

    (Dept. of Applied Mathematics, University Ca' Foscari of Venice)

Abstract

The main aims of this contribution are first to analyse the ethical level of European socially responsible investment (SRI) funds, secondly to measure the overall performance of the European SRI mutual funds with an appropriate data envelopment analysis (DEA) model and, finally, to investigate the relationship between the ethical level of mutual funds and their financial performance. In order to do so, we build an ethical measure, based on the main socially responsible features usually taken into account by SRI mutual funds, which evaluate their ethical strategies. In the time period of economic recession considered in the analysis, the triennium June 2006-June 2009, the mean returns of most mutual funds are negative, preventing the usual DEA models from being applied. In order to overcome this difficulty, we apply a special modification of these DEA models which can be used regardless of the phase of business cycle.

Suggested Citation

  • Antonella Basso & Stefania Funari, 2010. "Relative performance of SRI equity funds: An analysis of European funds using Data Envelopment Analysis," Working Papers 201, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    • Handle: RePEc:vnm:wpaper:201
    as

    Download full text from publisher

    File URL: http://virgo.unive.it/wpideas/storage/2010wp201.pdf
    File Function: First version, 2010
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Angeles Fernandez-Izquierdo & Juan Matallin-Saez, 2008. "Performance of Ethical Mutual Funds in Spain: Sacrifice or Premium?," Journal of Business Ethics, Springer, vol. 81(2), pages 247-260, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fabrizio Battisti & Maria Rosaria Guarini & Anthea Chiovitti, 2017. "The Assessment of Real Estate Initiatives to Be Included in the Socially-Responsible Funds," Sustainability, MDPI, vol. 9(6), pages 1-19, June.
    2. Elena Escrig‐Olmedo & María Jesús Muñoz‐Torres & María Ángeles Fernández‐Izquierdo, 2013. "Sustainable Development and the Financial System: Society's Perceptions About Socially Responsible Investing," Business Strategy and the Environment, Wiley Blackwell, vol. 22(6), pages 410-428, September.
    3. Panos Xidonas & Eric Essner, 2024. "On ESG Portfolio Construction: A Multi-Objective Optimization Approach," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 21-45, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Chad Albrecht & Jeffery Thompson & Jeffrey Hoopes & Pablo Rodrigo, 2010. "Business Ethics Journal Rankings as Perceived by Business Ethics Scholars," Journal of Business Ethics, Springer, vol. 95(2), pages 227-237, August.
    2. repec:dau:papers:123456789/7347 is not listed on IDEAS
    3. Syed, Ali Murad, 2017. "Socially responsible: Are they profitable?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1504-1515.
    4. Billah, Mabruk & Amar, Amine Ben & Balli, Faruk, 2023. "The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    5. 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.
    6. Iqbal Owadally & Jean-René Mwizere & Neema Kalidas & Kalyanie Murugesu & Muhammad Kashif, 2021. "Long-Term Sustainable Investment for Retirement," Sustainability, MDPI, vol. 13(9), pages 1-22, April.
    7. Rehman, Mobeen Ur & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Asymmetric multifractal behaviour and network connectedness between socially responsible stocks and international oil before and during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
    8. 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.
    9. Gunther Capelle†Blancard & Stéphanie Monjon, 2014. "The Performance of Socially Responsible Funds: Does the Screening Process Matter?," European Financial Management, European Financial Management Association, vol. 20(3), pages 494-520, June.
    10. Jedynak Tomasz, 2017. "Is it Worth Being Good? – The Efficiency and Risk of Socially Responsible Investing in Light of Various Empirical Studies," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(3), pages 1-14, September.
    11. Gunther Capelle-Blancard & Stéphanie Monjon, 2011. "The Performance of Socially Responsible Funds: Does the Screening Process Matter?," Working Papers 2011-12, CEPII research center.
    12. Urquhart, Andrew & Zhang, Hanxiong, 2019. "The performance of technical trading rules in Socially Responsible Investments," International Review of Economics & Finance, Elsevier, vol. 63(C), pages 397-411.
    13. Basso, Antonella & Funari, Stefania, 2014. "Constant and variable returns to scale DEA models for socially responsible investment funds," European Journal of Operational Research, Elsevier, vol. 235(3), pages 775-783.
    14. Christos Kollias & Stephanos Papadamou, 2016. "Environmentally Responsible and Conventional Market Indices’ Reaction to Natural and Anthropogenic Adversity: A Comparative Analysis," Journal of Business Ethics, Springer, vol. 138(3), pages 493-505, October.

    More about this item

    Keywords

    performance evaluation; SRI mutual funds; data envelopment analysis.;
    All these keywords.

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vnm:wpaper:201. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Daria Arkhipova (email available below). General contact details of provider: https://edirc.repec.org/data/dmvenit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.