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Evaluating the Performance of Socially Responsible Investment Funds

Author

Listed:
  • Liliana Eva Donath
  • Roxana Ioan
  • Tatenda Mandimutsira

Abstract

The definition and scope of sustainability have evolved over the years, stimulated by debates which have won the attention of investors, thereby creating concepts such as responsible investment, socially responsible investment, responsible finance, etc. The purpose of the paper is to demonstrate whether screening has an effect on the financial performance of mutual funds and whether these effects are positive or negative. The study mainly focuses on the U.S. market as it is well developed and therefore provides greater insight and value. The research method uses the Markowitz and Sharpe market models to determine the market value of SRI and non SRI mutual funds. The study also depicts the investors’ attitude towards embedding sustainability driven variables in the decision making process as well as the market response to socially responsible investments. JEL Codes - L21; M14; G11; C65

Suggested Citation

  • Liliana Eva Donath & Roxana Ioan & Tatenda Mandimutsira, 2018. "Evaluating the Performance of Socially Responsible Investment Funds," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(2), pages 139-158, June.
    • Handle: RePEc:aic:saebjn:v:65:y:2018:i:2:p:139-158:n:102
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    File URL: http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1087
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    References listed on IDEAS

    as
    1. Tom Kuhlman & John Farrington, 2010. "What is Sustainability?," Sustainability, MDPI, vol. 2(11), pages 1-13, November.
    2. Humphrey, Jacquelyn E. & Lee, Darren D. & Shen, Yaokan, 2012. "Does it cost to be sustainable?," Journal of Corporate Finance, Elsevier, vol. 18(3), pages 626-639.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    responsible investment; screening; performance; investors’ behavior;
    All these keywords.

    JEL classification:

    • L21 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Business Objectives of the Firm
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools

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