The Effect of the Business Cycle on the Performance of Socially Responsible Equity Mutual Funds

Sattlethight, Andrea Roofe

doi:10.25148/etd.fi11120901

Cited by 2 publications

(3 citation statements)

References 39 publications

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“…Trinks and Scholtens (2017) find that investing in controversial stocks results in higher risk‐adjusted returns. Roofe Sattlethight's (2011) event study compares the performance of SRI with the Vice Fund, which invests in companies that have significant engagement in or derive a substantial portion of their revenues from businesses devoted to behaviors that are traditionally regarded as morally questionable vices. The author finds no significant difference between SRI and the Vice Fund performance.…”

Section: Resultsmentioning

confidence: 99%

“…The opposite result occurred for Brexit; that is, SRI performed worse than conventional funds. Paul (2017) and Roofe Sattlethight (2011) split US market data into market expansion and contraction phases between 1991 and 2009 for their event studies. Both authors find overall no difference for SRI and market portfolios.…”

Section: Event Studies and Special Types Of Studiesmentioning

confidence: 99%

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The performance of socially responsible investments: A meta‐analysis

Hornuf

Yüksel

2023

Euro Fin Management

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In this article, we use a meta‐analysis to examine the performance of socially responsible investing (SRI). We find that, on average, SRI neither outperforms nor underperforms the market portfolio. However, in line with modern portfolio theory, we find that global SRI portfolios outperform regional subportfolios. Moreover, high‐quality publications, publications in finance journals and authors who publish more frequently on SRI are all less likely to report SRI outperformance. In particular, we find that including more factors in a capital market model reduces the likelihood that a study will find SRI outperformance.

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Section: Resultsmentioning

confidence: 99%

Section: Event Studies and Special Types Of Studiesmentioning

confidence: 99%

The performance of socially responsible investments: A meta‐analysis

Hornuf

Yüksel

2023

Euro Fin Management

View full text Add to dashboard Cite

show abstract

“…Trinks and Scholtens (2017) find that investing in controversial stocks results in higher risk-adjusted returns. Roofe Sattlethight's (2011) event study compares the performance of SRI with the Vice Fund, which invests in companies that have significant engagement in or derive a substantial portion of their revenues from businesses devoted to behaviors that are traditionally regarded as morally questionable vices. The author finds no significant difference between SRI and the Vice Fund performance.…”

Section: Event Studies and Special Types Of Studiesmentioning

confidence: 99%

The Performance of Socially Responsible Investments: A Meta-Analysis

Hornuf

Yüksel

2022

SSRN Journal

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The Effect of the Business Cycle on the Performance of Socially Responsible Equity Mutual Funds

Cited by 2 publications

References 39 publications

The performance of socially responsible investments: A meta‐analysis

The performance of socially responsible investments: A meta‐analysis

The Performance of Socially Responsible Investments: A Meta-Analysis

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