The financial performance of a socially responsible investment over time and a possible link with corporate social responsibility
David Bourget (Western Ontario)
David Chalmers (ANU, NYU)
Rafael De Clercq
Jack Alan Reynolds
Learn more about PhilPapers
Journal of Business Ethics 63 (2):131 - 148 (2006)
This paper empirically examines the financial performance of a UK unit trust that was initially “conventional” and later adopted socially responsible investment (SRI) principles (ethical investment principles). Comparison is made with three similar conventional funds whose investment objectives remained unchanged. Analysis techniques employed in previous studies find similar results: mean risk-adjusted performance is unchanged by the switch to SRI, with no evidence of over-or under-performance relative to the benchmark market index by any of the four funds. More interestingly, changes in variability of returns over time are also modelled using generalised autoregressive conditional heteroscedasticity models, not previously applied to SRI funds so far as is known. Results show a temporary increase in variability of returns, followed by a return to previous levels after around 4 years. Evidence shows the increased variability to be associated with the adoption of SRI rather than with a change in fund management. Possible explanations for the subsequent reduction in variability include the spread of corporate social responsibility activities by firms and learning by fund managers. In addition to reporting on a previously unobserved phenomenon, this paper raises questions for further research.
|Keywords||corporate social performance corporate social responsibility ethical investment learning by doing mutual funds socially responsible investment|
|Categories||categorize this paper)|
Setup an account with your affiliations in order to access resources via your University's proxy server
Configure custom proxy (use this if your affiliation does not provide a proxy)
|Through your library|
References found in this work BETA
No references found.
Citations of this work BETA
Iván Barreda-Tarrazona, Juan Carlos Matallín-Sáez & Mª Rosario Balaguer-Franch (2011). Measuring Investors' Socially Responsible Preferences in Mutual Funds. Journal of Business Ethics 103 (2):305-330.
Mariarosa Scarlata & Luisa Alemany (2010). Deal Structuring in Philanthropic Venture Capital Investments: Financing Instrument, Valuation and Covenants. [REVIEW] Journal of Business Ethics 95 (2):121 - 145.
Similar books and articles
Jacquelyn E. Humphrey & Darren D. Lee (2011). Australian Socially Responsible Funds: Performance, Risk and Screening Intensity. [REVIEW] Journal of Business Ethics 102 (4):519-535.
Christopher J. Cowton & Joakim Sandberg (2012). Socially Responsible Investment. In Ruth Chadwick (ed.), Encyclopedia of Applied Ethics, 2nd ed. Academic Press.
Francisco Climent & Pilar Soriano (2011). Green and Good? The Investment Performance of US Environmental Mutual Funds. Journal of Business Ethics 103 (2):275-287.
Angeles Fernandez-Izquierdo & Juan Carlos Matallin-Saez (2008). Performance of Ethical Mutual Funds in Spain: Sacrifice or Premium? [REVIEW] Journal of Business Ethics 81 (2):247 - 260.
Jonas Nilsson (2008). Investment with a Conscience: Examining the Impact of Pro-Social Attitudes and Perceived Financial Performance on Socially Responsible Investment Behavior. [REVIEW] Journal of Business Ethics 83 (2):307 - 325.
Karen L. Benson, Timothy J. Brailsford & Jacquelyn E. Humphrey (2006). Do Socially Responsible Fund Managers Really Invest Differently? Journal of Business Ethics 65 (4):337 - 357.
Stewart Jones, Sandra van der Laan, Geoff Frost & Janice Loftus (2008). The Investment Performance of Socially Responsible Investment Funds in Australia. Journal of Business Ethics 80 (2):181 - 203.
Javier Gil-Bazo, Pablo Ruiz-Verdú & André A. P. Santos (2010). The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies. [REVIEW] Journal of Business Ethics 94 (2):243 - 263.
Josep M. Lozano, Laura Albareda & M. Rosario Balaguer (2006). Socially Responsible Investment in the Spanish Financial Market. Journal of Business Ethics 69 (3):305 - 316.
Maria Ceu Cortez, Florinda Silva & Nelson Areal (2009). The Performance of European Socially Responsible Funds. Journal of Business Ethics 87 (4):573 - 588.
Added to index2009-01-28
Total downloads32 ( #74,915 of 1,696,170 )
Recent downloads (6 months)3 ( #177,962 of 1,696,170 )
How can I increase my downloads?