Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis

Leonardo Becchetti, Rocco Ciciretti, Ambrogio Dalò () and Stefano Herzel ()
Additional contact information
Ambrogio Dalò: CEIS University of Rome "Tor Vergata", http://www.ceistorvergata.it
Stefano Herzel: University of Rome Tor Vergata, http://www.ceistorvergata.it

No 310, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: We investigate the performance of Socially Responsible Funds (SRFs) and Conventional Funds (CFs) in different market segments during the 1992-2012 period. From an unbalanced sample of more that 22,000 funds, we define a matched sample using a beta-distance measure to match any SRF with the \nearest neighbor" CF in terms of risk factors. Using this novel matching approach and a recursive analysis, we identify several switch points in the lead/lag relationship between the two investment styles over time in different market segments (geographical area and size). A relevant finding of our analysis is that SRFs played an "insurance role" outperforming CFs during the 2007 global financial crisis.

Keywords: Socially Responsible Investment Fund; Jensen's Alpha; Global Financial Crisis. (search for similar items in EconPapers)
JEL-codes: C53 D84 E44 F30 G17 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2014-02-18, Revised 2014-02-18
New Economics Papers: this item is included in nep-eff, nep-fmk and nep-mac
References: View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Related works:
Journal Article: Socially responsible and conventional investment funds: performance comparison and the global financial crisis (2015)
Working Paper: Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis (2014)
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