The impact of social‐responsibility screens on investment performance: Evidence from the Domini 400 social index and Domini Equity Mutual Fund

David A. Sauer

Review of Financial Economics, 1997, vol. 6, issue 2, 137-149

Abstract: Socially responsible investors apply both financial and social criteria when evaluating investments in order to ensure that the securities selected are consistent with their personal value system and beliefs. This paper examines the potential impact these additional restrictions have on investment performance by comparing the performance characteristics of a carefully constructed, well diversified portfolio of socially screened stocks with two unrestricted benchmark portfolios. In contrast to prior research, the performance of the socially responsible portfolio examined in this paper is not subject to the confounding effects of trans‐ action costs, management fees, or differences in investment policy that are associated with actively managed mutual funds. Therefore, it is possible to more clearly isolate the potential performance implications associated with subjecting the investment opportunity set to social screening. Contrary to expectations, our findings indicate that application of social‐responsibility screens does not necessarily have an adverse impact on investment performance.

Date: 1997
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
https://doi.org/10.1016/S1058-3300(97)90002-1

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:wly:revfec:v:6:y:1997:i:2:p:137-149

Access Statistics for this article

More articles in Review of Financial Economics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().