Does Pension Funds' Fiduciary Duty Prohibit the Integration of Environmental Responsibility Criteria in Investment Processes?: A Realistic Prudent Investment Test

On the Price of Morals in Markets: An Empirical Study of the Swedish AP-Funds and the Norwegian Government Pension Fund

“…Statman and Glushkov 2009;Humphrey and Lee 2011;Humphrey and Tan 2014;Trinks and Scholtens 2015;Adamsson and Hoepner 2015), it also corresponds to the way that these funds are managed. For instance, Chambers et al (2012) point out that GPFG almost exclusively relies on publicly traded securities, while being constrained to very low deviations from the benchmark portfolio (see also Hoepner et al 2013, discussing this issue for pension funds in general). Thus, models like the CAPM and the extended factor models which measure performance relative to a benchmark, best capture this management style.…”

“…Inspired by Blake et al (2013) and Hoepner et al (2013), we test the risk implications of exclusionary screening by comparing the riskiness of the exclusion portfolios to that of the funds' benchmark index. Since the concept and definition of financial risk is not undisputed and many different risk measures have been suggested over the years, we employ a variety of risk measures that capture different aspects of financial risks.…”

“…Alpha estimates that are significant at the 10, 5 or 1 % level are highlighted in bold recent month, and T is equal to the number of trading days of the recent month. Following Hoepner et al (2013), we also employ several downside risk measures. These measures only account for the risk of negative deviations of returns from investors' expectation.…”

“…The maximum function assures that only returns below r xp are considered. In addition, we rely on several versions of the Lower Partial Moment (LPM 3 ) which is a commonly applied downside risk measure in more severe market conditions (Hoepner et al, 2013). The LPM 3 is calculated as:…”

The abilities of managers in UK pension funds. Are socially responsible managers superior?

“…Hoepner et al (2011) conclude that pension fund fiduciary duties should not forbid ESG criteria in the investment process. Indeed, Eurosif (2011) explains that ESG criteria should be a part of fiduciary duty.…”