On the superior performance of SRI funds

Ali Fatemi, Iraj Fooladi, Yonggan Zhao and Zongming Ma

International Review of Economics & Finance, 2024, vol. 93, issue PA, 567-581

Abstract: We compare the performance of 1126 US mutual funds deemed socially responsible to that of a matching sample of conventional funds over the three-decade period January 1980–December 2019. The comparisons are made over the entire period as well as the descending (bear) and ascending (bull) market subperiods, classified either according to the NBER method or the regime switching model. Our results indicate that SRI funds outperform their peers over the entire sample period. Additionally, regardless of the method used to the identify market condition or the asset pricing model employed, SRI funds as a group significantly outperform their conventional counterparts during bull markets but insignificantly so during bear markets. However, all-equity SRI funds and those that includes Equity and Fixed Income funds, significantly outperform their peers under either regime, with both methods and for all asset pricing specifications. Further examination indicates that the main driver of differences in the performance of SRI funds and their conventional peers can be attributed to their superior selection ability.

Keywords: Mutual funds; Socially responsible investing; Performance evaluation (search for similar items in EconPapers)
JEL-codes: G11 G12 G19 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056024002247
Full text for ScienceDirect subscribers only

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:eee:reveco:v:93:y:2024:i:pa:p:567-581

DOI: 10.1016/j.iref.2024.03.059

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().