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Hedonic evaluation of the SRI label of mutual funds using matching methodology

Amelia Bilbao-Terol, Susana Álvarez-Otero, Celia Bilbao-Terol and Verónica Cañal-Fernández

International Review of Financial Analysis, 2017, vol. 52, issue C, 213-227

Abstract: Our aim is to analyse the causal effect of the Socially Responsible Investment (SRI) label on the market value of mutual funds using the hedonic approach. We work with the market value of mutual funds as the dependent variable and financial characteristics jointly with the SRI label as the independent variables. Prior to hedonic evaluation a matching methodology is applied to the Environmental, Social and Governance (ESG) variables in order to balance these characteristics on the two sub-samples: SRI and conventional mutual funds. Data for our empirical analysis come from the Vigeo Database for the non-financial characteristics, and from the Morningstar Database for the rest of the necessary data. The results of the empirical study shows that there is a direct and statistically significant relationship between the SRI label and the market value of mutual funds during the studied period. This finding provides evidence of the growth of SRI, in line with most current research.

Keywords: Socially Responsible Investment; Matching; Mutual funds; Hedonic prices (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:eee:finana:v:52:y:2017:i:c:p:213-227