Are environmental social governance equity indices a better choice for investors? An Asian perspective

Rehman, Ramiz Ur; Zhang, Junrui; Uppal, Jamshed Y.; Cullinan, Charles P.; Naseem, Muhammad Akram

doi:10.1111/beer.12127

Cited by 49 publications

(54 citation statements)

References 108 publications

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“…When comparing SR and conventional funds within the same styles, the performance of conventional funds is higher than that for SR funds but this difference is not significant. This result is in line with some of the previous literature such as Bauer et al (), Renneboog et al (), Signori (), Nofsinger and Varma () and Leite and Cortez () and Ur Rehman et al (), amongst others. When SR funds are compared with other styles, conventional funds outperform significantly around one annualised basis point.…”

Section: Resultssupporting

confidence: 93%

“…Some studies, such as those of Renneboog, Horst, and Zhang (), Derwall, Koedijk, and Horst () and Revelli and Viviani () provide excellent overviews of the SR literature. Overall, SR mutual funds around the world do not differ significantly in terms of performance compared to non‐SR mutual funds, as shown in Bauer, Koedijk, and Otten (), Renneboog, Horst, and Zhang (), Signori (), Leite and Cortez () and Ur Rehman, Zhang, Uppal, Cullinan, and Akram Naseem (), amongst others.…”

Section: Literature Reviewmentioning

confidence: 84%

“…Are there any differences in the performance of different groups of SR funds? Bauer et al (2005), Renneboog et al (2008b), Signori (2009), Nofsinger and Varma (2014), Leite and Cortez (2014a) and Ur Rehman et al (2016), among others:…”

Section: F I G U R E 1 Contribution To Sr Literature and Managerial Imentioning

confidence: 99%

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Does socially responsible mutual fund performance vary over the business cycle? New insights on the effect of idiosyncratic SR features

Matallín‐Sáez

Soler‐Domínguez

Mingo‐López

et al. 2018

Business Ethics: A Eur Rev

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This study analyses the performance and market timing of US socially responsible (SR) mutual funds in relation to business cycle regime shifts and different grouping criteria: Ethical strategy focus, SR attributes scores and Morningstar category. Different methodologies are applied and results highlight the importance of considering specific benchmarks related to the investment style in evaluating the SR fund performance. Our results show that, in aggregate, the abnormal performance of SR funds is negative and significant in expansion periods, but no significant differences are found in recession periods. When specific benchmarks are considered, performance improves in recession periods, particularly for environmental funds, those with high SR attributes scores, and funds from the nine Morningstar style box categories. Market timing of SR funds takes positive values and is partially significant. Previous evidence of negative timing after a recent financial crisis vanishes when specific benchmarks are considered. For comparative purposes the performance of conventional US mutual funds is also analysed. There are no significant differences between the performance of SR and conventional mutual funds when a fair comparison is made within the same style categories. When all the SR funds are considered, they underperform conventional funds in expansion sub‐periods, but in recession sub‐periods they perform better, although the differences observed are not significant.

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Section: Resultssupporting

confidence: 93%

Section: Literature Reviewmentioning

confidence: 84%

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Does socially responsible mutual fund performance vary over the business cycle? New insights on the effect of idiosyncratic SR features

Matallín‐Sáez

Soler‐Domínguez

Mingo‐López

et al. 2018

Business Ethics: A Eur Rev

View full text Add to dashboard Cite

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“…In the 2010s, due to the growing availability of data on sustainability indices, another relevant body of research emerged. Some of these studies assessed a wide range of sustainability indices in developed regions (Belghitar et al, ; Lean & Nguyen, ), but others focused on developing countries (Ang, ; Cunha & Samanez, ; Ur Rehman et al, ). Their results corroborated previous findings; however, they used new performance measures and econometric models, such as the Omega ratio and variance derived from autoregressive conditional heteroskedasticity models.…”

Section: Sustainable Investmentmentioning

confidence: 99%

Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets

et al. 2019

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To contribute to overcoming global sustainability challenges, investors have been increasingly interested in making sustainable investments and incorporating environmental, social and governance (ESG) criteria into their portfolio selection decisions and managerial activities. However, these investors and other agents interested in sustainable investment need updated and robust information to support their decision making. We analyzed the performance of several Dow Jones Sustainability Indices (DJSIs) and compared them with their respective market benchmarks from 2013 to 2018. The indices comprise the following regions and countries: the world, the Asia-Pacific, Europe, emerging markets and the US. The analysis was conducted based on both classic and modern portfolio metrics. The results suggest that sustainable investment performance is still heterogeneous worldwide, but there is a promising opportunity for investors to obtain superior risk-adjusted returns in certain regions while incorporating sustainable investment practices. The findings are of utmost importance to financial market practitioners, business managers, academics and other stakeholders interested in promoting investments, corporate practices and scientific knowledge to achieve the Sustainable Development Goals (SDGs).

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“…This aspect of performance measurement is particularly relevant for the assessment of SR funds, as the choice of an appropriate benchmark is an important issue. Several studies (e.g., Rehman, Zhang, Uppal, Cullinan, & Naseem, 2016) find no significant differences between the performance of SR and conventional indices.…”

Section: Introductionmentioning

confidence: 95%

The performance of socially responsible equity mutual funds: Evidence from Sweden

Leite

Cortez

Silva

et al. 2017

Business Ethics: A Eur Rev

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This paper presents a comprehensive analysis of socially responsible (SR) funds in Sweden by assessing fund managers' abilities and performances across different market states. These issues are analyzed at the aggregate and individual fund levels. The paper also presents several new statistical tests that allow more precise inferences about differences in performance and the variability in fund returns arising from different benchmarks. In general, SR and conventional funds perform similarly to the market. At the aggregate level, SR funds investing in Sweden and Europe perform similarly to conventional funds, while those investing globally tend to underperform. This underperformance seems to be linked with poor selectivity abilities of global SR fund managers. For individual funds, the performance of both types of funds is more similar. Most funds perform similarly in crisis periods compared to non‐crisis periods. Overall, our results are consistent with a mature market for SR investing and support the view that the similar performance of SR and conventional funds is associated with the mainstreaming of SR investment in Sweden. These findings encourage SR investing both by socially conscious investors, who wish to align their social values with their investment decisions, as well as by conventional investors, who will not be penalized by investing in these funds. We also call attention to the difficulties investors face when trying to identify funds with high social standards, considering that there is scarce information on the extent to which each fund (SR or conventional) holds stocks that comply with ethical and social criteria.

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Are environmental social governance equity indices a better choice for investors? An Asian perspective

Cited by 49 publications

References 108 publications

Does socially responsible mutual fund performance vary over the business cycle? New insights on the effect of idiosyncratic SR features

Does socially responsible mutual fund performance vary over the business cycle? New insights on the effect of idiosyncratic SR features

Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets

The performance of socially responsible equity mutual funds: Evidence from Sweden

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