Are green and socially responsible funds more efficient than conventional funds? A DEA approaches

Maria Elisabete Duarte Neves, Maria do Castelo Gouveia, Adriana Martins and Joaquim Carlos da Costa Pinho

Journal of Economic Studies, 2023, vol. 51, issue 2, 261-286

Abstract: Purpose - The main goal of this paper is better understand the risk/return trade-off of investing in socially responsible investment funds (SRIF) and green investment funds (GIF). Design/methodology/approach - To achieve our aim a green investment fund portfolio, a socially responsible investment portfolio and a conventional fund (CF) portfolio from the United States of America (USA) were selected to compare the efficiency of these three different portfolios, by using Value-Based Data Envelopment Analysis (DEA) methodology. Findings - The results point out that SRIF and GIF are more efficient than CF. For five years, the CFs have not outperformed the GIF. Originality/value - The results suggest that there is a growing awareness on the part of investors that sustainable companies are the companies that will allow a better quality of life and a more sustainable environment. It seems that somehow managers and investors are aware that the market will compensate them for thinking about a cleaner and more equitable world.

Keywords: Green investment funds; Socially responsible investment funds; Efficiency; DEA (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jespps:jes-12-2022-0677

DOI: 10.1108/JES-12-2022-0677

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