Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis

27 Pages Posted: 20 Feb 2014  

Leonardo Becchetti

University of Rome, Tor Vergata - Faculty of Economics

Rocco Ciciretti

University of Rome II - Department of Economics and Finance

Ambrogio Dalo

University of Rome, Tor Vergata - Department of Economics and Finance

Stefano Herzel

University of Rome, Tor Vergata - Faculty of Economics

Date Written: February 18, 2014

Abstract

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.

Suggested Citation

Becchetti, Leonardo and Ciciretti, Rocco and Dalo, Ambrogio and Herzel, Stefano, Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis (February 18, 2014). CEIS Working Paper No. 310. Available at SSRN: https://ssrn.com/abstract=2397939 or http://dx.doi.org/10.2139/ssrn.2397939

Leonardo Becchetti (Contact Author)

University of Rome, Tor Vergata - Faculty of Economics ( email )

Via Columbia, 2
I-00133 Rome
Italy

Rocco Ciciretti

University of Rome II - Department of Economics and Finance ( email )

Via Columbia, 2
Roma, 00133
Italy
+39 06 72595925 (Phone)

HOME PAGE: http://directory.uniroma2.it/index.php/schede/getPubblicazioni/948

Ambrogio Dalo

University of Rome, Tor Vergata - Department of Economics and Finance ( email )

Rome
Italy

Stefano Herzel

University of Rome, Tor Vergata - Faculty of Economics ( email )

Via Columbia n.2
Rome, rome 00100
Italy

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