Premium
SOCIALLY RESPONSIBLE INVESTING IN THE GLOBAL MARKET: THE PERFORMANCE OF US AND EUROPEAN FUNDS
Author(s) -
Cortez Maria Céu,
Silva Florinda,
Areal Nelson
Publication year - 2012
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.454
Subject(s) - global assets under management , socially responsible investing , economics , fund of funds , style analysis , investment style , investment (military) , institutional investor , passive management , closed end fund , financial economics , monetary economics , investment strategy , finance , macroeconomics , return on investment , political science , corporate governance , open ended investment company , production (economics) , politics , market liquidity , law
This paper investigates the style and performance of US and European global socially responsible funds. Several specifications of the return‐generating process are applied as well as their corresponding conditional versions. Most European global socially responsible funds do not show significant performance differences in relation to both conventional and socially responsible benchmarks. US funds and Austrian funds show evidence of underperformance. By applying conditional models, we find evidence of time‐varying betas but not of time‐varying alphas. With respect to investment style, we find evidence that socially responsible funds are strongly exposed to small cap and growth stocks. Although these results are consistent with previous studies, they uncover some misclassification issues in these funds. Finally, we also document a significant home bias for global socially responsible funds. Copyright © 2011 John Wiley & Sons, Ltd.