Performance and Performance Persistence of Socially Responsible Investment Funds in Europe and North America

Hooi Hooi Lean (), Wei Rong Ang () and Russell Smyth

MPRA Paper from University Library of Munich, Germany

Abstract: We analyze, and compare, performance and performance persistence of Socially Responsible Investment (SRI) funds in Europe and North America. We use a broad sample of 500 European and 248 North American SRI funds for the period January 2001 - December 2011. We find that SRI funds outperform the market benchmark in Europe and North America over this period and that North American SRI funds perform better than European SRI funds. We find little evidence of performance persistence in either region using a ranked portfolio approach; however, there is more evidence of performance persistence in European SRI funds than in their North American counterparts using a non-parametric ranked portfolio approach.

Keywords: Performance Persistence; Socially Responsible Investment Funds; Carhart; Fama-French; Ranked Portfolio Approach; Contingency Table (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 (search for similar items in EconPapers)
Date: 2014-10
New Economics Papers: this item is included in nep-eff
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Performance and performance persistence of socially responsible investment funds in Europe and North America (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:59119

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