Buradasınız

Anasayfa » Content

The cost or benefit of socially responsible investment

Journal Name:

  • Harvard Deusto Business Research

Publication Year:

  • 2013

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
Este artículo tiene como punto de partida el tradicional modelo de sincronización de Treynor y Mazuy y su versión condicional y los adapta para que sean capaces de distinguir entre las habilidades de sincronización y selección de los gestores de fondos convencionales y éticos. Se analizan siete países europeos y se obtienen resultados similares para cada país. En general, se observan habilidades negativas tanto en sincronización como en selección para los gestores de los fondos convencionales. En lo que se refiere a los gestores de fondos éticos, encontramos que persiguen seguir su benchmark tanto si este bate al benchmark convencional como si no lo hace. Adicionalmente, en algunos casos puede advertirse una cierta habilidad de selección en los fondos éticos. Cuanto más restrictiva es la definición de fondo ético, mayor es el coste de diversificación para los gestores éticos. Para los fondos best-in-class se distingue una selección negativa y, en relación con la sincronización, percibimos que están más influidos por su benchmark que el resto de fondos éticos.
Bookmark/Search this post with
Abstract (Original Language): 
This paper takes as its starting-point the traditional Treynor and Mazuy timing model and its conditional version and adapts them so as to be able to distinguish between the stock picking and Market timing abilities of ethical and conventional fund managers. Seven European countries are analysed and similar results are found for each country. In general, perverse stock picking and Market timing abilities are observed for conventional fund managers. With regard to ethical fund managers, we find they manage to match their benchmark both when it outperforms or underperforms the conventional benchmark. Furthermore in some cases a positive stock picking ability is found for ethical funds. The more restrictive the definition of the term ethical fund, the greater the cost of diversification for ethical managers. Moreover for best-in-class funds a negative stock picking ability is registered, and in relation with Market timing, we find that they are more influenced by their benchmark than the rest of the ethical funds.
FULL TEXT (PDF): 
PDF icon arastirmax-cost-or-benefit-socially-responsible-investment.pdf
  • 2
  • English

REFERENCES

References: 

Abbarno, G. J. (2001). Huckstering in the Classroom: Limits to Corporate Social Responsibility. Journal of
Business Ethics, 32(2), 179-189. http://dx.doi.org/10.1023/A:1010627500567
Anderson, A. M., & Myers, D. H. (2007). The Cost of Being Good. Review of Business, 28(1), 5-17.
Arbelaez, H., Cousin, J. G., & Jemel, H. (2006). Does Social Responsibility Deter Shares from Higher Returns?
An European Empirical Study. Association Française de Finance (AFFI), Paris.
Bartolomeo, M., Daga, T. (2002, January). Green, Social and Ethical Funds in Europe 2001. Sustainable
Investment Research International (SiRi) Group.
Bartolomeo, M., Daga, T., Bonfiglioli, E., & Hinderer, A. (2002, October). Green, Social and Ethical Funds in
Europe 2002. Sustainable Investment Research International (SiRi) Group.
Bartolomeo, M., Daga, T., & Familiari, G. (2003, September). Green, Social and Ethical Funds in Europe 2003.
Sustainable Investment Research International (SiRi) Group, Milan.
Bartolomeo, M., & Familiari, G. (2004, November). Green, Social and Ethical Funds in Europe 2004. Sustainable
Investment Research International (SiRi) Group, Milan.
Bartolomeo, M., & Familiari, G. (2005, October). Green, Social and Ethical Funds in Europe, 2005 Review.
Sustainable Investment Research International (SiRi) Group, Milan.
Bartolomeo, M., & Familiari, G. (2006, September). Green, Social and Ethical Funds in Europe, 2006 Review.
Avanzi SRI Research, Milan.
Bartolomeo, M., Dal Maso, D., & Familiari, G. (2007, October). Green, Social and Ethical Funds in Europe, 2007
Review. Avanzi SRI Research, Milan.
Bauer, R., Derwall, J., & Otten, R. (2007). The Ethical Mutual Fund Performance Debate: New Evidence from
Canada. Journal of Business Ethics, 70, 111-124. http://dx.doi.org/10.1007/s10551-006-9099-0
Bauer, R., Koedijk, K., & Otten, R. (2005). International Evidence on Ethical Mutual Fund Performance and
Investment Style. Journal of Banking and Finance, 29(7), 1751-1767. http://dx.doi.org/10.1016/j.
jbankfin.2004.06.035
Benson, K. L., Brailsford, T. J., & Humphrey, J. E. (2006). Do Socially Responsible Fund Managers Really
Invest Differently? Journal of Business Ethics, 65, 337-357. http://dx.doi.org/10.1007/s10551-006-0003-8
Bollen, N. P. B. (2007). Mutual Fund Attributes and Investor Behavior. Journal of Financial and Quantitative
Analysis, 42(3), 683-708. http://dx.doi.org/10.1017/S0022109000004142
Brammer, S., Williams, G., & Zinkin, J. (2007). Religion and Attitudes to Corporate Social Responsibility in a
Large Cross-Country Sample. Journal of Business Ethics, 71(3), 229-243. http://dx.doi.org/10.1007/s10551-
006-9136-z
Christopherson, J. A., Ferson, W. E., & Glassman, D. A. (1998). Conditioning Manager Alpha on Economic
Information: Another Look at the Persistence of Performance. Review of Financial Studies, 11(1), 111-142.
http://dx.doi.org/10.1093/rfs/11.1.111
Cortez, M. C., & Silva, F. (2002). Conditioning Information on Portfolio Performance Evaluation: A Reexamination
of Performance Persistence in the Portuguese Mutual Fund Market. Finance India, 16(4), 1393-1408.
Cummings, L. S. (2000). The Financial Performance of Ethical Investment Trusts: An Australian Perspective.
Journal of Business Ethics, 25(1), 79-92. http://dx.doi.org/10.1023/A:1006102802904
Dellva, W. L., DeMaskey, A. L., & Smith, C. Y. (2001). Selectivity and Market Timing Performance of Fidelity
Sector Mutual Funds. Financial Review, 36(1), 39-54. http://dx.doi.org/10.1111/j.1540-6288.2001.tb00003.x
Derwall, J. M. M., & Koedijk, K. (2005). The Performance of Socially Responsible Bond Funds. Financial
Management Association Meeting, Chicago.
Directive 85/611/EEC of the Council of 20th December 1985, coordinating the legal, regulatory and
administrative provisions on particular Undertakings for Collective Investment in Transferable Securities
(UCITS), 31st December 1985, issue 375, series L.
Eurosif (2008). European SRI Study.
Fama, E. (1972). Components of Investment Performance. Journal of Finance, 27(3), 551-567.
Fernández, A., & Matallín, J. C. (2008). Performance of Ethical Mutual Funds in Spain: Sacrifice or Premium?
Journal of Business Ethics, 81, 247-260. http://dx.doi.org/10.1007/s10551-007-9492-3
Ferson, W., & Schadt, R. (1996). Measuring Fund Strategy and Performance in Changing Economic
Conditions. Journal of Finance, 51(2), 425-462. http://dx.doi.org/10.1111/j.1540-6261.1996.tb02690.x
Geczy, C., Stambaugh, R., & Levin, D. (2003). Investing in Socially Responsible Mutual Funds. Working Paper,
University of Pennsylvania.
Girard, E., Stone, B., & Rahman, H. (2007). Socially Responsible Investments: Goody-Two-Shoes or Bad to the
Bone? The Journal of Investing, 16(1), 96-110. http://dx.doi.org/10.3905/joi.2007.681827
Glac, K. (2008). Understanding Socially Responsible Investing: The Effect of Decision Frames and Trade-Off
Options. Journal of Business Ethics, 52(1), 11-25.
Goldreyer, E., & Diltz, D. (1999). The Performance of Socially Responsible Mutual Funds: Incorporating
Sociopolitical Information in Portfolio Selection. Managerial Finance, 25(1), 23-36. http://dx.doi.
org/10.1108/03074359910765830
Grinblatt, M., & Titman, S. (1989). Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings.
Journal of Business, 62(3), 393-416. http://dx.doi.org/10.1086/296468
Hamilton, S., Jo, H., & Statman, M. (1993). Doing Well While Doing Good? The Investment Performance of
Socially Responsible Mutual Funds. Financial Analysts Journal, 49(6), 62-66. http://dx.doi.org/10.2469/faj.
v49.n6.62
Hellsten, S., & Mallin, C. (2006). Are ‘Ethical’ or ‘Socially Responsible’ Investments Socially Responsible?
Journal of Business Ethics, 66(4), 393-406. http://dx.doi.org/10.1007/s10551-006-0001-x
Johnsen, B. D. (2003). Socially Responsible Investing: A Critical Appraisal. Journal of Business Ethics, 43(3), 219-
222. http://dx.doi.org/10.1023/A:1022998232503
Jones, S., Van der Laan, S., Frost, G., & Loftus, J. (2008). The Investment Performance of Socially Responsible
Investment Funds in Australia. Journal of Business Ethics, 80(2), 181-203. http://dx.doi.org/10.1007/s10551-
007-9412-6
Kinder, P. D., Lydenberg, S., & Domini, A. (1993). Investing for Good. New York, Harper Business.
Laufer, W. S. (2003). Social Screening of Investments: An Introduction. Journal of Business Ethics, 43(3), 163-165.
Lehman, B., & Modest, D. (1987). Mutual Fund Performance Evaluation: A Comparison of Benchmarks and
Benchmarks Comparisons. Journal of Finance, 42(2), 233-265.
Lozano, J. M., Albareda, L., & Balaguer, M. R. (2006). Socially Responsible Investment in the Spanish
Financial Market. Journal of Business Ethics, 69(3), 305-316. http://dx.doi.org/10.1007/s10551-006-9092-7
Luther, R., & Matatko, J. (1994). The Performance of Ethical Unit Trusts: Choosing an Appropriate Benchmark.
British Accounting Review, 26(1), 77-89. http://dx.doi.org/10.1006/bare.1994.1007
Luther, R., Matatko, J., & Corner, D. (1992). The Investment Performance of UK Ethical Investment Trusts.
Accounting, Auditing and Accountability Journal, 5(4), 57-70. http://dx.doi.org/10.1108/09513579210019521
Mallin, C., Saadouni, B., & Briston, R. (1995). The Financial Performance of Ethical Investment Funds. Journal
of Business, Finance and Accounting, 22(4), 483-496. http://dx.doi.org/10.1111/j.1468-5957.1995.tb00373.x
Markowitz, H. M. (1952). Portfolio Selection. Journal of Finance, 7(1), 77-91.
McLachlan, J., & Gardner, J. (2004). A Comparison of Socially Responsible and Conventional Investors.
Journal of Business Ethics, 52(1), 11-25.
Mill, G. A. (2006). The Financial Performance of a Socially Responsible Investment Over Time and a Possible
Link with Corporate Social Responsibility. Journal of Business Ethics, 63(2), 131-148. http://dx.doi.
org/10.1007/s10551-005-2410-7
Newey, W. K., & West, K. D. (1987). A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation
Consistent Covariance Matrix. Econometrica, 55(3), 703-708. http://dx.doi.org/10.2307/1913610
Phillips, T., Eyres, B., & Howitt, R. (2001). Closing Session – The Corporation and Society. Journal of Business
Ethics, 32(2), 119-126. http://dx.doi.org/10.1023/A:1010646014829
Renneboog, L. D. R., Horst, J. R. T., & Zhang, C. (2007). Socially Responsible Investments: Methodology, Risk
Exposure and Performance. ECGI Working Paper, 175/2007.
Renneboog, L. D. R., Horst, J. R. T., & Zhang, C. (2008). The price of ethics and stakeholder governance: The
performance of socially responsible mutual funds. Journal of Corporate Finance, 14(3), 302-322. http://dx.
doi.org/10.1016/j.jcorpfin.2008.03.009
Renneboog, L. D. R., Horst, J. R. T., & Zhang, C. (2011). Is ethical money financially smart? Nonfinancial
attributes and money flows of socially responsible investment funds. Journal of Financial Intermediation,
20(4), 562-588. http://dx.doi.org/10.1016/j.jfi.2010.12.003
Rennie, E. P., & Cowhey, T. J. (1990). The Successful Use of Benchmark Portfolios: A Case Study. Financial
Analysts Journal, 46(5), 18-26. http://dx.doi.org/10.2469/faj.v46.n5.18
Reynolds, M. A., & Yuthas, K. (2008). Moral Discourse and Corporate Social Responsibility Reporting. Journal
of Business Ethics, 78(1-2), 47-64. http://dx.doi.org/10.1007/s10551-006-9316-x
Roy, B., & Deb, S. S. (2004). Conditional Alpha and Performance Persistence for Indian Mutual Funds:
Empirical Evidence. ICFAI Journal of Applied Finance, 10(1), 30-48.
Schueth, S. (2003). Socially Responsible Investing in the United States. Journal of Business Ethics, 43(3), 189-194.
http://dx.doi.org/10.1023/A:1022981828869
Sethi, S. P. (2005). Investing in Socially Responsible Companies is a Must for Public Pension Funds – Because
There is no Better Alternative. Journal of Business Ethics, 56(2), 99-129.

Thank you for copying data from http://www.arastirmax.com