Performance and performance persistence of socially responsible investment funds in Europe and North America

Lean, Hooi Hooi; Ang, Wei Rong; Smyth, Russell

doi:10.1016/j.najef.2015.09.011

Cited by 63 publications

(47 citation statements)

References 56 publications

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“…The hypothesis is that socially responsible companies can avoid some risks such as consumer boycotts and legal prosecutions and fines [28]. This hypothesis has been confirmed by a number of studies [29][30][31].…”

Section: Literature Reviewmentioning

confidence: 78%

The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices

et al. 2019

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Social rating agencies implement complex filters to identify the companies with the best sustainable and social performance and help investors select the companies for their sustainable portfolios. This study analysed whether companies that are defined as ethical, sustainable and socially responsible by those agencies actually deserve this label. More specifically, the inclusion in the prestigious Dow Jones Sustainability Index (DJSI) World of companies that have been involved in controversies according to the Thomson Reuters Eikon database was studied. The results show that the inclusion of irresponsible companies in the DJSI Index is a fact. This outcome is in line with previous studies that criticise the methodologies applied by social rating agencies and those which outline the similarity of sustainable and conventional portfolios. The results may explain the contradictory conclusions regarding the performance of sustainable and conventional mutual funds in numerous studies.

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Section: Literature Reviewmentioning

confidence: 78%

The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices

et al. 2019

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“…To that end, researchers have employed multi-factor asset pricing models such as the Fama-French three-factor model [20] and the Carhart four-factor model [21] as well as the more recent Fama-French five-factor model [4]. These are of the works of Goldreyer and Diltz [22], Cummings [23], Bello [24], Bauer et al [25], Gregory and Whittaker [26], Jones et al [27], Cortez et al [28], Humphrey and Lee [29], Capelle and Monjon [30], Nofsinger and Varma [31], Lean et al [32], Leite and Cortez [33], Jin and Han [34] Joliet and Titova [3], Segura et al [15], Boermans and Galema [35], Martí-Ballester [36] and Martí-Ballester [37], among others.…”

Section: Literature Reviewmentioning

confidence: 95%

Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas

Miralles‐Quirós

Nogueira

2020

Sustainability

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This study focuses on assets related to Sustainable Development Goals (SDGs), which are the most recent aspect of the Socially Responsible Investment framework and have caught the attention of investors due to their investment opportunities as well as the global challenges that can be achieved. The profitability of developing an investment strategy is shown based on the value of the alphas obtained from the estimation of the Fama-French five-factor model when compared to an equally weighted portfolio, even when transaction costs are taken into consideration. In addition, it is proven that investors should focus their investments on two main SDGs: Good health and well-being (Goal 3) and Industry, innovation and infrastructure (Goal 9).

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“…The first analysis of socially responsible fund performance was conducted by Moskowitz in 1970 [20]. Since then, a substantial number of articles have been published on SRI portfolio performance.…”

Section: Performance Of Socially Responsible Funds Compared To Convenmentioning

confidence: 99%

Performance and Resilience of Socially Responsible Investing (SRI) and Conventional Funds during Different Shocks in 2016: Evidence from Japan

Arefeen

Shimada

2020

Sustainability

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Socially responsible investing (SRI) reap the benefits of a social consensus and is often presented as a solution to conciliate finance and sustainable development. This article investigates the performance and resilience of both socially responsible and conventional funds listed in the Japan Investment Trust Association (JITA) during two economic shocks (the U.S. election and Brexit) in 2016. To see the immediate reaction in fund performance around different shocks, an event study with market model using ordinary least square (OLS), an event study with market model using exponential generalized autoregressive heteroscedasticity (EGARCH) and an event study with Fama–French multi-factor model was used to avoid common features of return data such as non-normality, heteroscedasticity, and cross-correlation. This study found that the recent U.S. election had a significant positive effect whereas the Brexit referendum event had a significant negative shock on fund returns in Japan around the event window. It is evident from the empirical findings that, compared to conventional funds, socially responsible funds were more resilient to uncertainty around the recent U.S. presidential election whereas conventional funds were more sensitive during the Brexit referendum. The important implications of these findings are the optimal strategies of institutional or individual investors who have direct or indirect exposure to the fund volatility risk in Japan.

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Performance and performance persistence of socially responsible investment funds in Europe and North America

Cited by 63 publications

References 56 publications

The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices

The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices

Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas

Performance and Resilience of Socially Responsible Investing (SRI) and Conventional Funds during Different Shocks in 2016: Evidence from Japan

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