IDEAS home Printed from https://ideas.repec.org/a/eee/reveco/v93y2024ipap567-581.html
   My bibliography  Save this article

On the superior performance of SRI funds

Author

Listed:
  • Fatemi, Ali
  • Fooladi, Iraj
  • Zhao, Yonggan
  • Ma, Zongming

Abstract

We compare the performance of 1126 US mutual funds deemed socially responsible to that of a matching sample of conventional funds over the three-decade period January 1980–December 2019. The comparisons are made over the entire period as well as the descending (bear) and ascending (bull) market subperiods, classified either according to the NBER method or the regime switching model. Our results indicate that SRI funds outperform their peers over the entire sample period. Additionally, regardless of the method used to the identify market condition or the asset pricing model employed, SRI funds as a group significantly outperform their conventional counterparts during bull markets but insignificantly so during bear markets. However, all-equity SRI funds and those that includes Equity and Fixed Income funds, significantly outperform their peers under either regime, with both methods and for all asset pricing specifications. Further examination indicates that the main driver of differences in the performance of SRI funds and their conventional peers can be attributed to their superior selection ability.

Suggested Citation

  • Fatemi, Ali & Fooladi, Iraj & Zhao, Yonggan & Ma, Zongming, 2024. "On the superior performance of SRI funds," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 567-581.
    • Handle: RePEc:eee:reveco:v:93:y:2024:i:pa:p:567-581
    DOI: 10.1016/j.iref.2024.03.059
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1059056024002247
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.iref.2024.03.059?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Mutual funds; Socially responsible investing; Performance evaluation;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G19 - Financial Economics - - General Financial Markets - - - Other

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:93:y:2024:i:pa:p:567-581. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.