Style and performance of international socially responsible funds in Europe

Paulo Leite and Maria Céu Cortez

Research in International Business and Finance, 2014, vol. 30, issue C, 248-267

Abstract: This paper analyses the performance and investment styles of internationally oriented Socially Responsible Investment (SRI) funds, domiciled in eight European markets, in comparison with characteristics-matched conventional funds. To the best of our knowledge, this is the first multi-country study, focused on international SRI funds (investing in Global and in European equities), to combine the matched-pairs approach with the use of robust conditional multi-factor performance evaluation models, which allow for both time-varying alphas and betas and also control for home biases and spurious regression biases.

Keywords: International funds; Socially responsible funds; Performance evaluation; Investment style; Matched-pairs approach (search for similar items in EconPapers)
JEL-codes: G11 G15 M14 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:30:y:2014:i:c:p:248-267

DOI: 10.1016/j.ribaf.2013.09.007

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