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Socially Responsible Investments in Germany, Switzerland and the United States - An Analysis of Investment Funds and Indices


Michael Schröder


Centre for European Economic Research (ZEW) - International Finance and Financial Management

2003

ZEW Discussion Paper No. 03-10

Abstract:     
The aim of this study is the analysis of so called socially responsible investments (SRI). First, the performance of SRI equity investment funds and equity indices is investigated using Jensen's alpha as performance measure. The analysis considers market timing strategies of the fund management and takes publicly available information into account (conditional performance). In the second part sensitivities regarding macroeconomic factors are estimated and the third part investigates the investment style of the SRI funds and indices. It is found that most of the SRI assets have a similar performance than their benchmarks. Only a few funds and indices exhibit a relatively poor performance. As SRI funds and indices seem to have some specific risk-return characteristics (investment styles) that might be characterised as special investment vehicles different from conventional assets.

Number of Pages in PDF File: 46

Keywords: Socially responsible investing, performance measurement, investment style, investment funds

JEL Classification: G11, G23, Q01, Q20

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Date posted: September 10, 2003  

Suggested Citation

Schröder, Michael, Socially Responsible Investments in Germany, Switzerland and the United States - An Analysis of Investment Funds and Indices (2003). ZEW Discussion Paper No. 03-10. Available at SSRN: http://ssrn.com/abstract=421462 or http://dx.doi.org/10.2139/ssrn.421462

Contact Information

Michael Schröder (Contact Author)
Centre for European Economic Research (ZEW) - International Finance and Financial Management ( email )
L 7,1
P.O. Box 10 34 43
D-68034 Mannheim
Germany
+49 621 1235 140 (Phone)
+49 621 1235 223 (Fax)
HOME PAGE: http://www.zew.de/en/mitarbeiter/mitarbeiter.php3?action=mita&kurz=msc
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