Spillover Effects in SRI Fund Families

40 Pages Posted: 10 Jan 2019

See all articles by Fajri Adrianto

Fajri Adrianto

Universitas Andalas - Faculty of Economic

En-Te (John) Chen

Queensland University of Technology; Financial Research Network (FIRN)

Janice C. Y. How

Queensland University of Technology; Financial Research Network (FIRN)

Date Written: January 8, 2019

Abstract

This paper investigates spillovers in cash flow to SRI funds within the fund family due to the existence of a star (poor) performing peer SRI fund. Using a sample of SRI funds domiciled in the U.S. and considering survivorship, we find a positive spillover effect from having a star SRI fund on the monthly cash flow of their SRI siblings. However, the reverse is not found in the presence of a poor SRI performer. The spillover effect is more pronounced in SRI funds with a lower opportunity set, as shown by the higher contribution of the star (poor) performers to the flow of combined-ESG and environmental funds. Having a star conventional fund provides insignificant contributions to the flow of SRI siblings, suggesting that SRI investors are concerned only with the performance of SRI funds. Further, the magnitude of the spillover effect in SRI fund families is lower than in conventional fund families.

Keywords: ESG Principles, Fund Families, SRI Funds, Spillover Effects, Fund Flows

JEL Classification: G12, A13, Z13

Suggested Citation

Adrianto, Fajri and Chen, En-Te and How, Janice C. Y., Spillover Effects in SRI Fund Families (January 8, 2019). Available at SSRN: https://ssrn.com/abstract=3311876 or http://dx.doi.org/10.2139/ssrn.3311876

Fajri Adrianto (Contact Author)

Universitas Andalas - Faculty of Economic ( email )

Kampus Limau Manih
Padang, West Sumatra 25163
Indonesia

En-Te Chen

Queensland University of Technology ( email )

GPO Box 2434
2 George Street
Brisbane, Queensland 4001
Australia
61-7-3864-2658 (Phone)
61-7-3864-1500 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Janice C. Y. How

Queensland University of Technology ( email )

2 George Street
Brisbane, Queensland 4000
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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