Socially Responsible Fixed-Income Funds

20 Pages Posted: 27 Apr 2009

See all articles by Jeroen Derwall

Jeroen Derwall

Maastricht University - European Centre for Corporate Engagement; Maastricht University - Department of Finance; The Open University of the Netherlands

Kees C. G. Koedijk

Tilburg University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: 2008-10

Abstract

The growing importance of SRI in the investment arena has resulted in considerable academic interest in the performance of socially responsible equity mutual funds. Remarkably, no attempts have been made to evaluate the performance of mutual funds that invest in socially responsible fixed-income securities. This study fills that gap by measuring the performance of socially responsible bond and balanced funds relative to matched samples of conventional funds, over the period 1987–2003. Using multi-index performance evaluation models, we show that the average SRI bond fund performed similar to conventional funds, while the average SRI balanced fund outperformed its conventional peers by more than 1.3% per year. The expenses charged by SRI funds, match those charged by conventional funds and, evidently, do not cause SRI funds to underperform.

Suggested Citation

Derwall, Jeroen and Koedijk, Kees G., Socially Responsible Fixed-Income Funds (2008-10). Journal of Business Finance & Accounting, Vol. 36, Issue 1-2, pp. 210-229, January/March 2009. Available at SSRN: https://ssrn.com/abstract=1394694 or http://dx.doi.org/10.1111/j.1468-5957.2008.02119.x

Jeroen Derwall (Contact Author)

Maastricht University - European Centre for Corporate Engagement ( email )

FEBA
Tongersestraat 53
Maastricht, Limburg 6200MD
Netherlands

HOME PAGE: http://www.corporate-engagement.com/

Maastricht University - Department of Finance ( email )

Maastricht, 6200 MD
Netherlands

HOME PAGE: http://www.fdewb.unimaas.nl/finance/?page=member&id=175

The Open University of the Netherlands

Valkenburgerweg 177
Heerlen, NL-6401DL
Netherlands

Kees G. Koedijk

Tilburg University - Department of Finance ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 13 4663048 (Phone)
+31 13 4662052 (Fax)

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