Is ethical money financially smart? Nonfinancial attributes and money flows of socially responsible investment funds

Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations

“…In applications of this concept to socially responsible investments, a number of studies including [1,3,[6][7][8][9] claim that non-financial elements provide SRI investors with extra utility or satisfaction. In addition, as pointed out by [1,[9][10][11][12], SRI investors tend to believe that ESG factors materially affect the returns in a positive way, which, in turn, can lead to lower costs involved in the avoidance or minimization of environmental and reputational risks, and better management and better customer satisfaction that eventually impacts revenues in a positive way. Possibly, these are the reasons that have led the global SRI (sustainable investment) market to grow steadily both in absolute and relative terms.…”

Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance?

“…Following the seminal work of Brinson, Hood, and Beebower (1986) and in line with Xiong, Ibbotson, Idzorek, and Chen (2010) and Aglietta, Brière, Rigot, and Signori (2012), we decomposed the total return of SR mutual funds into three components: the market return, the asset allocation policy return in excess of the market return, and the return from active portfolio management. The novelty of our approach is in adding a fourth component that measures the effect of SR screening on a fund's return variability, disentangling it from the effects of other sources of performance.The approach that we used in our study contrasts with previous studies on SR fund performance, which compared the average performance of a sample of SR funds with either a matched sample of conventional peers or a benchmark index (see, e.g., Hamilton, Joe, and Statman 1993;Statman 2000;Bauer, Koedijk, and Otten 2005;Kreander, Gray, Power, and Sinclair 2005;Gil-Bazo, Ruiz-Verdú, and Santos 2010;Renneboog, Ter Horst, and Zhang 2011). These studies concluded that the difference in average Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance.…”

“…The approach that we used in our study contrasts with previous studies on SR fund performance, which compared the average performance of a sample of SR funds with either a matched sample of conventional peers or a benchmark index (see, e.g., Hamilton, Joe, and Statman 1993;Statman 2000;Bauer, Koedijk, and Otten 2005;Kreander, Gray, Power, and Sinclair 2005;Gil-Bazo, Ruiz-Verdú, and Santos 2010;Renneboog, Ter Horst, and Zhang 2011). These studies concluded that the difference in average Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance.…”

Assessing mutual funds’ corporate social responsibility: a multistakeholder-AHP based methodology

“…These are investors with medium-low financial knowledge willing to invest in already made financial products without making more decisions than those concerning to risk assumption. In this context, the discussion on the social and financial performance of socially responsible mutual funds is a key question (Renneboog et al 2008, Cortez et al 2009, Hellsten and Mallin, 2006, Renneboog et al 2011). …”