Socially responsible investment fund performance: the impact of screening intensity
Darren D. Lee,
Jacquelyn E. Humphrey,
Karen L. Benson and
Jason Y. K. Ahn
Accounting and Finance, 2010, vol. 50, issue 2, 351-370
Perhaps the most common criticism of socially responsible investment funds is that imposing non-financial screens restricts investment opportunities, reduces diversification efficiencies and thereby adversely impacts performance. In this study we investigate this proposition and test whether the "number" of screens employed has a linear or curvilinear relation with return. Moreover, we analyse the link between screening intensity and risk. Screening intensity has no effect on unadjusted (raw) returns or idiosyncratic risk. However, we find a significant reduction in "&agr;" of 70 basis points per screen using the Carhart performance model. Increased screening results in lower systematic risk - in line with managers choosing lower "&bgr;" stocks to minimize overall risk. Copyright (c) The Authors. Journal compilation (c) 2010 AFAANZ.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-629X.2009.00336.x link to full text (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:acctfi:v:50:y:2010:i:2:p:351-370
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0810-5391
Access Statistics for this article
Accounting and Finance is currently edited by Robert Faff
More articles in Accounting and Finance from Accounting and Finance Association of Australia and New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().