Constant and Variable Returns to Scale DEA Models for Socially Responsible Investment Funds

Ca’ Foscari University of Venice Department of Economics Working Paper No. 20/WP/2012

26 Pages Posted: 3 Oct 2012

See all articles by Antonella Basso

Antonella Basso

Ca Foscari University of Venice - Dipartimento di Economia

Stefania Funari

Ca Foscari University of Venice - Department of Management

Date Written: August 24, 2012

Abstract

In order to evaluate the performance of socially responsible investment (SRI) funds, we propose some models which use data envelopment analysis and can be computed in all phases of the business cycle. These models focus on the most crucial elements of an investment in mutual funds.

In the literature both constant and variable returns to scale DEA models have been used to evaluate the performance of mutual funds. An empirical investigation carried out on European SRI equity funds indicates that for the funds analyzed the returns to scale are constant. Another aspect taken into account by the empirical investigation is the measurement of the degree of social responsibility of SRI equity funds in the various European countries. In addition, we have analyzed the performance of the funds considered with the different DEA models proposed, which differ in the way the ethical objective is taken into account. Moreover, the paper focuses on another crucial issue regarding socially responsible investing: the comparison of the performances between SRI and non SRI funds; the empirical study suggests that the ethical objective can be pursued without having to renounce financial rewards.

Keywords: data envelopment analysis, finance, mutual fund performance evaluation, socially responsible investing

JEL Classification: C65, G1, G23

Suggested Citation

Basso, Antonella and Funari, Stefania, Constant and Variable Returns to Scale DEA Models for Socially Responsible Investment Funds (August 24, 2012). Ca’ Foscari University of Venice Department of Economics Working Paper No. 20/WP/2012. Available at SSRN: https://ssrn.com/abstract=2156170 or http://dx.doi.org/10.2139/ssrn.2156170

Antonella Basso (Contact Author)

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy
+39-041-2346914 (Phone)

HOME PAGE: http://www.unive.it/nqcontent.cfm?a_id=82251&pid=5591751

Stefania Funari

Ca Foscari University of Venice - Department of Management ( email )

San Giobbe, Cannaregio 873
Venice, 30121
Italy

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