Socially responsible and conventional investment funds: performance comparison and the global financial crisis

Leonardo Becchetti, Rocco Ciciretti, Ambrogio Dalò and Stefano Herzel

Applied Economics, 2015, vol. 47, issue 25, 2541-2562

Abstract: We investigate the performance of socially responsible funds (SRFs) and conventional funds (CFs) in different market (geographical area and class size) segments during the period 1992-2012. From an unbalanced sample of more than 22 000 funds, we define a matched sample using a beta-distance measure to match any SRF with the 'nearest neighbour' CF in terms of sensitivity to risk factors. Using this matching approach and a recursive analysis, we identify several switch points in the lead/lag relationship between the two investment styles over time in different market segments. A relevant finding of our analysis is that SRFs played an 'insurance role' outperforming CFs during the 2007 global financial crisis.

Date: 2015
References: View complete reference list from CitEc
Citations: View citations in EconPapers (45)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2014.1000517 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis (2014)
Working Paper: Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis (2014)
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:taf:applec:v:47:y:2015:i:25:p:2541-2562

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2014.1000517

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().