TY - JOUR
T1 - Performances of socially responsible investment and environmentally friendly funds
AU - Ito, Y.
AU - Managi, S.
AU - Matsuda, A.
N1 - Funding Information:
Acknowledgements—The authors thank anonymous referees and Kristiaan Kerstens for helpful comments. This research was funded by a Grant-in-Aid for Scientific Research from the Ministry of Education, Culture, Sports, Science and Technology. The results and conclusions of this paper do not necessary represent the views of the funding agency.
PY - 2013/11
Y1 - 2013/11
N2 - 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.
AB - 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.
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U2 - 10.1057/jors.2012.112
DO - 10.1057/jors.2012.112
M3 - Article
AN - SCOPUS:84886021638
SN - 0160-5682
VL - 64
SP - 1583
EP - 1594
JO - Journal of the Operational Research Society
JF - Journal of the Operational Research Society
IS - 11
ER -