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Constant and variable returns to scale DEA models for socially responsible investment funds

Antonella Basso and Stefania Funari ()

No 2012_20, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: In order to evaluate the performance of socially responsible investment (SRI) funds, we propose some models which use data envelopment analysis and can be computed in all phases of the business cycle. These models focus on the most crucial elements of an investment in mutual funds. In the literature both constant and variable returns to scale DEA models have been used to evaluate the performance of mutual funds. An empirical investigation carried out on European SRI equity funds indicates that for the funds analyzed the returns to scale are constant. Another aspect taken into account by the empirical investigation is the measurement of the degree of social responsibility of SRI equity funds in the various European countries. In addition, we have analyzed the performance of the funds considered with the different DEA models proposed, which differ in the way the ethical objective is taken into account. Moreover, the paper focuses on another crucial issue regarding socially responsible investing: the comparison of the performances between SRI and non SRI funds; the empirical study suggests that the ethical objective can be pursued without having to renounce financial rewards.

Keywords: Data envelopment analysis; Finance; Mutual fund performance evaluation; Socially responsible investing (search for similar items in EconPapers)
JEL-codes: C65 G1 G23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eff
Date: 2012
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Journal Article: Constant and variable returns to scale DEA models for socially responsible investment funds (2014) Downloads
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