Performances of socially responsible investment and environmentally friendly funds

Yutaka Ito, Shunsuke Managi and Akimi Matsuda ()

Journal of the Operational Research Society, 2013, vol. 64, issue 11, 1583-1594

Abstract: 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.

Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.palgrave-journals.com/jors/journal/v64/n11/pdf/jors2012112a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/jors/journal/v64/n11/full/jors2012112a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Performances of Socially Responsible Investment and Environmentally Friendly Funds (2012)
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:jorsoc:v:64:y:2013:i:11:p:1583-1594

Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/41274

Access Statistics for this article

Journal of the Operational Research Society is currently edited by Tom Archibald and Jonathan Crook

More articles in Journal of the Operational Research Society from Palgrave Macmillan, The OR Society
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().