Ito, Yutaka and Managi, Shunsuke and Matsuda, Akimi (2012): Performances of Socially Responsible Investment and Environmentally Friendly Funds.
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The 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. Unlike the traditional methods, this approach estimate 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 U.S. In addition, the results of EU are among the top-performing categories. Environmentally friendly funds 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.
|Item Type:||MPRA Paper|
|Original Title:||Performances of Socially Responsible Investment and Environmentally Friendly Funds|
|Keywords:||Socially responsible investment fund; Environmentally friendly fund; Fund performance; Mean-variance model|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q5 - Environmental Economics > Q56 - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
|Depositing User:||Yutaka Ito|
|Date Deposited:||14. Aug 2012 09:20|
|Last Modified:||12. Feb 2013 11:09|
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