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Risk-Return of Belgian SRI Funds

Author

Listed:
  • L. Van Liedekerke
  • L. De Moor
  • D. Van Walleghem

Abstract

In this paper we apply a conditional 4-factor model to analyse the risk-return profile of Belgian socially responsible investment funds (SRI) versus their conventional counterparts. We cannot reject the hypothesis that there is no statistical difference between the risk-return trade-off of SRI and conventional funds in the Belgian market. If the risk-return profile is not the problem, then what is it that limits the development of an SRI retail market in Belgium? We conclude with a short digression on this question.

Suggested Citation

  • L. Van Liedekerke & L. De Moor & D. Van Walleghem, 2007. "Risk-Return of Belgian SRI Funds," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(4), pages 673-685.
    • Handle: RePEc:ete:revbec:20070406
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    Cited by:

    1. Jędrzej Białkowski & Anna Sławik, 2021. "Do investors respond to changes in the composition of sustainability indices?," Bank i Kredyt, Narodowy Bank Polski, vol. 52(4), pages 319-338.
    2. Francisco José López-Arceiz & Ana José Bellostas-Pérezgrueso & José Mariano Moneva, 2018. "Evaluation of the Cultural Environment’s Impact on the Performance of the Socially Responsible Investment Funds," Journal of Business Ethics, Springer, vol. 150(1), pages 259-278, June.
    3. Sebastian Rathner, 2013. "The Influence of Primary Study Characteristics on the Performance Differential Between Socially Responsible and Conventional Investment Funds: A Meta-Analysis," Journal of Business Ethics, Springer, vol. 118(2), pages 349-363, December.
    4. Blankenberg, Ann-Kathrin & Gottschalk, Jonas F. A., 2018. "Is socially responsible investing (SRI) in stocks a competitive capital investment? A comparative analysis based on the performance of sustainable stocks," University of Göttingen Working Papers in Economics 349, University of Goettingen, Department of Economics.

    More about this item

    Keywords

    SRI; Belgium; Risk; Return; 4-Factor; CAPM; Conditional;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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