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Are Green Fund Investors Really Socially Responsible?

Author

Listed:
  • Huimin Chung

    (Graduate Institute of Finance, National Chiao Tung University, HsinChu 300, Taiwan)

  • Han-Hsing Lee

    (Graduate Institute of Finance, National Chiao Tung University, HsinChu 300, Taiwan)

  • Pei-Chun Tsai

    (Graduate Institute of Management Science, National Chiao Tung University, HsinChu 300, Taiwan)

Abstract

This paper investigates the performance, fund characteristics, fund flow of green fund and the impact of subprime mortgage crisis on fund flow volatility. In terms of fund performance, our results show that there is no consistently significant difference between performance of green funds and conventional funds. As for fund characteristics, green funds are more sensitive to market and size risks compared to conventional funds, while they are less sensitive to value and momentum factors than conventional funds. Consistent with prior literature, there exists an asymmetric phenomenon for green funds, that is, fund flows of green funds are significantly related to lagged positive return but not significantly associated with lagged negative returns in normal market conditions. During the subprime mortgage crisis, both mature green and mature conventional funds experienced fund outflows. However, volatility of green funds flows is much lower than their conventional counterparts. Our results suggest that green fund investors can derive utility from the social responsibility attribute, and they are really more socially responsible when making investment decisions.

Suggested Citation

  • Huimin Chung & Han-Hsing Lee & Pei-Chun Tsai, 2012. "Are Green Fund Investors Really Socially Responsible?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-25.
    • Handle: RePEc:wsi:rpbfmp:v:15:y:2012:i:04:n:s0219091512500233
    DOI: 10.1142/S0219091512500233
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    References listed on IDEAS

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    1. Andrew A. King & Michael J. Lenox, 2001. "Does It Really Pay to Be Green? An Empirical Study of Firm Environmental and Financial Performance: An Empirical Study of Firm Environmental and Financial Performance," Journal of Industrial Ecology, Yale University, vol. 5(1), pages 105-116, January.
    2. Keeney,Ralph L. & Raiffa,Howard, 1993. "Decisions with Multiple Objectives," Cambridge Books, Cambridge University Press, number 9780521438834, September.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Jiong Gong & Ping Jiang & Shu Tian, 2016. "Contractual mutual fund governance: the case of China," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 543-567, April.
    2. Maike van Dijk-de Groot & Andre H.J. Nijhof, 2015. "Socially Responsible Investment Funds: a review of research priorities and strategic options," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 5(3), pages 178-204, July.
    3. Onur Kemal Tosun, 2017. "Is corporate social responsibility sufficient enough to explain the investment by socially responsible funds?," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 697-726, October.
    4. Lars Hornuf & Gül Yüksel, 2022. "The Performance of Socially Responsible Investments: A Meta-Analysis," CESifo Working Paper Series 9724, CESifo.

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    More about this item

    Keywords

    Green funds; fund performance; fund flows; socially responsible investments; subprime mortgage crisis;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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