Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis
Rocco Ciciretti (),
Ambrogio Dalò () and
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Ambrogio Dalò: CEIS University of Rome "Tor Vergata", http://www.ceistorvergata.it
No 310, CEIS Research Paper from Tor Vergata University, CEIS
We investigate the performance of Socially Responsible Funds (SRFs) and Conventional Funds (CFs) in different market segments during the 1992-2012 period. From an unbalanced sample of more that 22,000 funds, we define a matched sample using a beta-distance measure to match any SRF with the \nearest neighbor" CF in terms of risk factors. Using this novel matching approach and a recursive analysis, we identify several switch points in the lead/lag relationship between the two investment styles over time in different market segments (geographical area and size). A relevant finding of our analysis is that SRFs played an "insurance role" outperforming CFs during the 2007 global financial crisis.
Keywords: Socially Responsible Investment Fund; Jensen's Alpha; Global Financial Crisis. (search for similar items in EconPapers)
JEL-codes: C53 D84 E44 F30 G17 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2014-02-18, Revised 2014-02-18
New Economics Papers: this item is included in nep-eff, nep-fmk and nep-mac
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Journal Article: Socially responsible and conventional investment funds: performance comparison and the global financial crisis (2015)
Working Paper: Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:rtv:ceisrp:310
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