Socially responsible: Are they profitable?

Ali Murad Syed

Research in International Business and Finance, 2017, vol. 42, issue C, 1504-1515

Abstract: This study provides the evidence of the performance of SRI funds in the UK and in France both before and during the financial crisis. We find that in the pre-crisis (2004-2007) period all French and UK funds outperformed the market. According to the modified Sharpe ratio, French and UK funds also outperformed during the crisis period (2007-2009) when compared with relative market benchmarks. This result is not confirmed by the Jensen alpha or the Treynor ratio, but these instruments did not indicate significant underperformance. Overall, our results show that while there is no significant difference in financial performance between SRI funds and non-SRI funds.

Keywords: Socially Responsible Investing; Sharp ratio; Modified Sharp ratio; Beta; Jensen’s Alpha; Performance evaluation; Near market; Market conditions (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:42:y:2017:i:c:p:1504-1515

DOI: 10.1016/j.ribaf.2017.07.090

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