The Performance of Socially Responsible Investments: A Meta-Analysis

53 Pages Posted: 2 May 2022

See all articles by Lars Hornuf

Lars Hornuf

University of Bremen - Faculty of Business Studies and Economics; Max Planck Institute for Innovation and Competition; CESifo (Center for Economic Studies and Ifo Institute)

Gül Yüksel

University of Bremen - Faculty of Business Studies and Economics

Date Written: 2022

Abstract

In this article, we use a meta-analysis to examine the performance of socially responsible investing (SRI). After a thorough literature search, we review 153 empirical studies containing 1,047 observations of SRI performance. We find that, on average, SRI neither outperforms nor underperforms the market portfolio. However, in line with modern portfolio theory, we find that global SRI portfolios outperform regional sub-portfolios. Moreover, high-quality publications, publications in finance journals, and authors who publish more frequently on SRI are all less likely to report SRI outperformance. In particular, we find that including more factors in a capital market model reduces the likelihood that a study will find SRI outperformance. These findings have important implications for the policy evaluation of environmental, social, and governance goals in general, the asset management literature in particular, and the perspective of different scientific disciplines.

Keywords: environmental social governance, ESG, socially responsible investment, SRI, meta-analysis

JEL Classification: G110, G120, M140

Suggested Citation

Hornuf, Lars and Yüksel, Gül, The Performance of Socially Responsible Investments: A Meta-Analysis (2022). CESifo Working Paper No. 9724, Available at SSRN: https://ssrn.com/abstract=4097850 or http://dx.doi.org/10.2139/ssrn.4097850

Lars Hornuf (Contact Author)

University of Bremen - Faculty of Business Studies and Economics ( email )

Bremen, D-28359
Germany
+49 89 20348619 (Phone)

HOME PAGE: http://www.hornuf.com

Max Planck Institute for Innovation and Competition ( email )

Marstallplatz 1
Munich, Bayern 80539
Germany

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

Gül Yüksel

University of Bremen - Faculty of Business Studies and Economics ( email )

Bremen, D-28359
Germany

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