Are Green Fund Investors Really Socially Responsible?

Huimin Chung (), Han-Hsing Lee () and Pei-Chun Tsai ()
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Huimin Chung: Graduate Institute of Finance, National Chiao Tung University, HsinChu 300, Taiwan
Han-Hsing Lee: Graduate Institute of Finance, National Chiao Tung University, HsinChu 300, Taiwan
Pei-Chun Tsai: Graduate Institute of Management Science, National Chiao Tung University, HsinChu 300, Taiwan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2012, vol. 15, issue 04, 1-25

Abstract: This paper investigates the performance, fund characteristics, fund flow of green fund and the impact of subprime mortgage crisis on fund flow volatility. In terms of fund performance, our results show that there is no consistently significant difference between performance of green funds and conventional funds. As for fund characteristics, green funds are more sensitive to market and size risks compared to conventional funds, while they are less sensitive to value and momentum factors than conventional funds. Consistent with prior literature, there exists an asymmetric phenomenon for green funds, that is, fund flows of green funds are significantly related to lagged positive return but not significantly associated with lagged negative returns in normal market conditions. During the subprime mortgage crisis, both mature green and mature conventional funds experienced fund outflows. However, volatility of green funds flows is much lower than their conventional counterparts. Our results suggest that green fund investors can derive utility from the social responsibility attribute, and they are really more socially responsible when making investment decisions.

Keywords: Green funds; fund performance; fund flows; socially responsible investments; subprime mortgage crisis (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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DOI: 10.1142/S0219091512500233

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