Performances of socially responsible investment and environmentally friendly funds

Ito, Y, Managi, Shunsuke, & Matsuda, A (2012) Performances of socially responsible investment and environmentally friendly funds. Journal of the Operational Research Society, 64(11), pp. 1583-1594.

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The socially responsible investment (SRI) funds performances remain inconclusive. Hence, more studies need to be conducted to determine if SRI funds systematically underperform or outperform conventional funds. This paper has employed dynamic mean-variance model using shortage function approach to evaluate the performance of SRI and Environmentally friendly funds (EF). Unlike the traditional methods, this approach estimates fund performance considering both the return and risk at the same time. The empirical results show that SRI funds outperformed conventional funds in EU and US. In addition, the results of EU are among the top-performing categories. EF do not perform as well as SRI, but perform in manners equal or superior to conventional funds. These results show statistically significant in some cases.

Impact and interest:

5 citations in Scopus
4 citations in Web of Science®
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ID Code: 75374
Item Type: Journal Article
Refereed: Yes
Keywords: Environmentally friendly fund; Fund performance; Mean-variance model; Socially responsible investment fund
DOI: 10.1057/jors.2012.112
ISSN: 1476-9360
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Deposited On: 21 Aug 2014 02:12
Last Modified: 22 Jun 2017 10:01

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