Performances of socially responsible investment and environmentally friendly funds

Y. Ito, S. Managi, A. Matsuda

研究成果: Article査読

16 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)1583-1594
ページ数12
ジャーナルJournal of the Operational Research Society
64
11
DOI
出版ステータスPublished - 2013 11月
外部発表はい

ASJC Scopus subject areas

  • 管理情報システム
  • 戦略と経営
  • 経営科学およびオペレーションズ リサーチ
  • マーケティング

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