Performances of Socially Responsible Investment and Environmentally Friendly Funds

Yutaka Ito, Shunsuke Managi and Akimi Matsuda ()

MPRA Paper from University Library of Munich, Germany

Abstract: The SRI funds performances remain inconclusive. Hence, more studies need to be conducted to determine if SRI funds systematically underperform or outperform conventional funds. This paper has employed dynamic mean-variance model using shortage function approach to evaluate the performance of SRI and Environmentally friendly funds. Unlike the traditional methods, this approach estimate fund performance considering both the return and risk at the same time. The empirical results show that SRI funds outperformed conventional funds in EU and U.S. In addition, the results of EU are among the top-performing categories. Environmentally friendly funds do not perform as well as SRI, but perform in manners equal or superior to conventional funds. These results show statistically significant in some cases.

Keywords: Socially responsible investment fund; Environmentally friendly fund; Fund performance; Mean-variance model (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 Q56 (search for similar items in EconPapers)
Date: 2012-08-15
New Economics Papers: this item is included in nep-env
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Related works:
Journal Article: Performances of socially responsible investment and environmentally friendly funds (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:40654

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