Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis
27 Pages Posted: 20 Feb 2014 Last revised: 3 Aug 2020
Date Written: February 18, 2014
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 "nearest 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 Classification: D84, E44, F30, G17, C53.
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