RT Article
T1 The Performance of European Socially Responsible Funds
JF Journal of business ethics
VO 87
IS 4
SP 573
OP 588
A1 Cortez, Maria Ceu
A1 Silva, Florinda
A1 Areal, Nelson
LA English
PB Springer Science + Business Media B. V
YR 2009
UL https://www.ixtheo.de/Record/1785634992
AB Recent years have witnessed an increasing growth in mutual funds that invest according to social criteria. As a consequence, the financial performance of these portfolios has attracted the interest of academics and practitioners. This paper investigates the performance of a sample of socially responsible mutual funds from seven European countries investing globally and/or in the European market. Using unconditional and conditional models, we assess the performance of these funds in comparison to conventional and socially responsible benchmark portfolios. The results show that European socially responsible funds present in general neutral performance in relation to both conventional and socially responsible benchmarks. However, performance estimates seem to be slightly higher when funds are evaluated in relation to socially responsible indices. Our results also show that socially responsible funds are more exposed to conventional than to socially responsible indices. Furthermore, conventional benchmarks are better able to explain fund returns than socially responsible benchmarks. These findings are robust to both unconditional and conditional models of performance. We also observe that conditional models lead to a slight improvement of performance estimates and to the explanatory power of the models, both when conventional and socially responsible benchmarks are considered. This is consistent with most previous empirical findings on conditional performance evaluation. Our results show that investors who wish to hold European funds can add social screens to their investment choices without compromising financial performance.
K1 general market indices
K1 socially responsible indices
K1 Socially Responsible Investing
K1 socially responsible mutual funds
K1 fund performance evaluation
DO 10.1007/s10551-008-9959-x