Socially Responsible Equity Funds and the Dow Jones Sustainability Index

25 Pages Posted: 2 Aug 2019

See all articles by Roberto Liebscher

Roberto Liebscher

Catholic University of Eichstaett-Ingolstadt

Date Written: April 30, 2017

Abstract

I use variation created through changes in the index composition of the Dow Jones Sustainability Index (DJSI) to measure social preferences of U.S. domestic equity mutual funds. I find that while socially labeled funds (SRI funds) show a higher level of investments in DJSI stocks their response to changes in the index composition is not different from conventional funds. Moreover, out-of-sample predictions of reactions to index changes are weak for social responsibility ratings and the SRI label as predictors. The results either challenge the value of SRI labels and social responsibility ratings or the relevance of the DJSI for socially driven investment decisions.

Keywords: Socially-responsible mutual funds; SRI

JEL Classification: G11, G23

Suggested Citation

Liebscher, Roberto, Socially Responsible Equity Funds and the Dow Jones Sustainability Index (April 30, 2017). Available at SSRN: https://ssrn.com/abstract=3426788 or http://dx.doi.org/10.2139/ssrn.3426788

Roberto Liebscher (Contact Author)

Catholic University of Eichstaett-Ingolstadt ( email )

Auf der Schanz 49
Ingolstadt, D-85049
Germany

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