Performance of Socially Responsible Mutual Funds

Global Journal of Business Research, v. 6 (2) p. 9-17, 2014

10 Pages Posted: 12 Dec 2014

See all articles by Linda Yu

Linda Yu

University of Wisconsin - Whitewater

Date Written: 2014

Abstract

This study examines the performance of socially responsible mutual funds from 1999 to 2009. To minimize the benchmark error, we apply propensity-score-matching method to identify a most comparable conventional fund for every socially responsible fund based on several key fund characteristics. We find that return of socially responsible mutual funds are lower than conventional funds before applying the propensity-score-matching method. However, comparing to the propensity-score-matched funds, socially responsible mutual funds have a superior return on both average and risk-adjust returns. Further analysis shows that the superior return of socially responsible funds over propensity-score-matched funds only exists in the funds satisfying social and governance screening criteria.

Keywords: Socially Responsible Investing, Mutual Funds, Propensity-Score-Matching

JEL Classification: G11, G23

Suggested Citation

Yu, Linda, Performance of Socially Responsible Mutual Funds (2014). Global Journal of Business Research, v. 6 (2) p. 9-17, 2014, Available at SSRN: https://ssrn.com/abstract=2449872

Linda Yu (Contact Author)

University of Wisconsin - Whitewater ( email )

800 W. Main
Whitewater, WI 53190
United States

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