Performances of socially responsible investment and environmentally friendly funds

Y. Ito, S. Managi, A. Matsuda

Research output: Contribution to journalArticle

13 Citations (Scopus)

Abstract

The socially responsible investment (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 (EF). Unlike the traditional methods, this approach estimates 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 US. In addition, the results of EU are among the top-performing categories. EF 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.

Original languageEnglish
Pages (from-to)1583-1594
Number of pages12
JournalJournal of the Operational Research Society
Volume64
Issue number11
DOIs
Publication statusPublished - 2013 Nov

Keywords

  • Environmentally friendly fund
  • Fund performance
  • Mean-variance model
  • Socially responsible investment fund

ASJC Scopus subject areas

  • Management Information Systems
  • Strategy and Management
  • Management Science and Operations Research
  • Marketing

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