Performance and Performance Persistence of Socially Responsible Investment Funds in Europe and North America

Lean, Hooi Hooi and Ang, Wei Rong and Smyth, Russell (2014): Performance and Performance Persistence of Socially Responsible Investment Funds in Europe and North America.

Abstract

We analyze, and compare, performance and performance persistence of Socially Responsible Investment (SRI) funds in Europe and North America. We use a broad sample of 500 European and 248 North American SRI funds for the period January 2001 - December 2011. We find that SRI funds outperform the market benchmark in Europe and North America over this period and that North American SRI funds perform better than European SRI funds. We find little evidence of performance persistence in either region using a ranked portfolio approach; however, there is more evidence of performance persistence in European SRI funds than in their North American counterparts using a non-parametric ranked portfolio approach.

• Item Type: MPRA Paper
• Language: English
• Keywords: Performance Persistence, Socially Responsible Investment Funds, Carhart, Fama-French, Ranked Portfolio Approach, Contingency Table
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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