Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis
Becchetti LeonardoCiciretti RoccoD'Alò AmbrogioHerzel Stefano
CEIS Research Paper
We investigate the performance of Socially Responsible Funds (SRFs) and Conventional Funds (CFs) in different market segments during the 1992-2012 period. From an unbalanced sample of more that 22,000 funds, we define a matched sample using a beta-distance measure to match any SRF with the earest neighbor" CF in terms of risk factors. Using this novel matching approach and a recursive analysis, we identify several switch points in the lead/lag relationship between the two investment styles over time in different market segments (geographical area and size). A relevant finding of our analysis is that SRFs played an "insurance role" outperforming CFs during the 2007 global financial crisis.
Keywords: Socially Responsible Investment Fund; Jensen's Alpha; Global Financial Crisis.
JEL codes: D84; E44; F30; G17; C53
Date: Tuesday 18 February 2014
Revision Date: Tuesday 18 February 2014