Premium
Mutual Funds Efficiency Measurement under Financial and Social Responsibility Criteria
Author(s) -
PérezGladish Blanca,
Rodríguez Paz Méndez,
M'zali Bouchra,
Lang Pascal
Publication year - 2013
Publication title -
journal of multi‐criteria decision analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.462
H-Index - 47
eISSN - 1099-1360
pISSN - 1057-9214
DOI - 10.1002/mcda.1494
Subject(s) - data envelopment analysis , stochastic dominance , social responsibility , dominance (genetics) , order (exchange) , investment (military) , finance , set (abstract data type) , socially responsible investing , work (physics) , economics , business , actuarial science , econometrics , computer science , political science , public relations , corporate governance , mathematics , chemistry , politics , law , gene , programming language , engineering , mechanical engineering , mathematical optimization , biochemistry
Socially responsible investors pursue financial as well as nonfinancial goals. Whereas the role of financial criteria in investment decisions is well understood, much less is known on the influence of social responsibility considerations. This work seeks to integrate both dimensions within a data envelopment analysis framework consistent with second‐order stochastic dominance efficiency. We compare the performance of conventional versus socially responsible mutual funds on an empirical data set. Our data do not support the conjecture that conventional mutual funds exhibit superior overall performance. Copyright © 2013 John Wiley & Sons, Ltd.