Performances of socially responsible investment and environmentally friendly funds

被引：20
|
作者：
Ito, Y. [1 ]
Managi, S. [1 ]
Matsuda, A. [2 ]
机构：
[1] Tohoku Univ, Sendai, Miyagi 9808579, Japan
[2] Nomura Secur Co Ltd, Tokyo, Japan
来源：
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY | 2013年 / 64卷 / 11期
关键词：
socially responsible investment fund; environmentally friendly fund; fund performance; mean-variance model; DATA ENVELOPMENT ANALYSIS; MUTUAL FUNDS; NONPARAMETRIC APPROACH; RISK; MARKET; EQUILIBRIUM; PERSISTENCE; PORTFOLIOS; APPRAISALS; EFFICIENCY;
D O I：
10.1057/jors.2012.112
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：1583 / 1594
页数：12
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