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How socially irresponsible are socially responsible mutual funds? A persistence analysis

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  • Dorfleitner, Gregor
  • Kreuzer, Christian
  • Laschinger, Ralf

Abstract

Based on a dataset of over 400 fund compositions in the years 2003-2018 this paper analyzes the persistence of controversies scores and environmental, social, governance (ESG) scores in socially responsible US mutual funds. As measurements for corporate social irresponsibility as well as corporate social responsibility activities, it is shown that US mutual funds exhibit controversies and ESG persistence in the short and longer-term. When examining the relationship between controversies and ESG scores in comparison with management fees, it becomes apparent that higher-paid managers achieve better results regarding controversies scoring but worse results regarding ESG scoring, compared to lower-paid managers.

Suggested Citation

  • Dorfleitner, Gregor & Kreuzer, Christian & Laschinger, Ralf, 2021. "How socially irresponsible are socially responsible mutual funds? A persistence analysis," Finance Research Letters, Elsevier, vol. 43(C).
    • Handle: RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000714
    DOI: 10.1016/j.frl.2021.101990
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    2. Phoebe Koundouri & Conrad Landis, 2023. "ESG Momentum in International equity returns and the SDG content of financial asset portfolios," DEOS Working Papers 2318, Athens University of Economics and Business.
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