Performances of socially responsible investment and environmentally friendly funds

Y. Ito, Shunsuke Managi, A. Matsuda

Research output: Contribution to journalArticle

12 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 - Nov 1 2013

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Socially responsible investment
Investment funds
Fund performance
Mean-variance model
Empirical results
Shortage
Risk and return

All Science Journal Classification (ASJC) codes

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

Cite this

Performances of socially responsible investment and environmentally friendly funds. / Ito, Y.; Managi, Shunsuke; Matsuda, A.

In: Journal of the Operational Research Society, Vol. 64, No. 11, 01.11.2013, p. 1583-1594.

Research output: Contribution to journalArticle

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