Risk-return of Belgian SRI funds

Luc Van Liedekerke, Lieven De Moor () and Dieter Vanwalleghem ()
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Lieven De Moor: Hogeschool-Universiteit Brussel (HUB), Belgium
Dieter Vanwalleghem: University of Oxford, Oxford, United Kingdom

No 2007/04, Working Papers from Hogeschool-Universiteit Brussel, Faculteit Economie en Management

Abstract: We analyse the risk-return profile of Belgian SRI funds versus conventional investment funds. We apply a four-factor conditional Carhart model to establish whether there are significant differences in risk-return profile between an SRI portfolio and a conventional portfolio and test for learning effects in SRI funds. We show that there is no difference in risk-return profile between SRI and conventional funds. If return is not the problem, then what is it that limits the development of an SRI retail market in Belgium? We conclude with a short digression on this question.

Keywords: SRI investment funds; risk-return analysis; Markowitz versus Moskowitz puzzle (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2007-04-27
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Citations: View citations in EconPapers (4)

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Journal Article: Risk-Return of Belgian SRI Funds (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:hub:wpecon:200704

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