EconPapers    
Economics at your fingertips  
 

Socially responsible investing in hedge funds

Greg Filbeck (mgf11@psu.edu), Timothy A. Krause (tak25@psu.edu) and Lauren Reis (lir5134@psu.edu)
Additional contact information
Greg Filbeck: Penn State Behrend
Timothy A. Krause: Penn State Behrend
Lauren Reis: Penn State Behrend

Journal of Asset Management, 2016, vol. 17, issue 6, No 2, 408-421

Abstract: Abstract Socially responsible investing (SRI) has gained popularity in recent years, but the evidence is mixed as to whether SRI affects investor returns. We employ several empirical methods to determine the impact of SRI on returns for U.S. equity hedge funds from 2005 to 2015. Using a propensity score matching technique, we find evidence that SRI hedge funds do significantly outperform similar non-SRI Hedge Funds on average by between 1.50 and 2.67 per cent annually. We find similar results for one subcategory of hedge funds using Fama and Macbeth (J Political Econ 81(3):607–636, 1973) regressions, and our findings are stronger when we examine returns from subperiods that do not include the global financial crisis.

Keywords: hedge funds; socially responsible investing; ESG investing (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1057/s41260-016-0022-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:17:y:2016:i:6:d:10.1057_s41260-016-0022-7

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/s41260-016-0022-7

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla (sonal.shukla@springer.com) and Springer Nature Abstracting and Indexing (indexing@springernature.com).

 
Page updated 2024-12-28
Handle: RePEc:pal:assmgt:v:17:y:2016:i:6:d:10.1057_s41260-016-0022-7