Ethical Investing in Australia: Is there a Financial Penalty?

Bauer, Rob; Otten, Rogér; Tourani‐Rad, Alireza

doi:10.2139/ssrn.567127

Cited by 75 publications

(106 citation statements)

References 38 publications

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“…They extend their study to the Australian market using the same methods. They investigate the performance of 25 ethical mutual funds compared to the Worldscope Australian Index, showing equal performance for the period between 1996 and 2003, after a catch-up period between 1992 and 1996 (Bauer et al 2006); a further analysis performed on the Canadian market comes up with the same results (Bauer et al 2007). Kreander et al (2005) study 60 European funds 30 ethical, and 30 non-ethical over the period 1995-2001 using a matched pair analysis, and find no signs of significant outperformance of the ethical funds over the non-ethical funds.…”

Section: Performance Of Sr Investmentsmentioning

confidence: 96%

Ethical requirement and financial interest: a literature review on socially responsible investing

Wallis¹,

Klein

2014

Bus Res

117

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract This paper provides an overview of the status quo in socially responsible investing (SRI) literature. We outline motives, history, and current best practice of SRI. We also provide a thorough analysis of a wide set of studies that cover two key topics in this field: the first research objective is to determine the relative performance of SRI vehicles in comparison to their conventional benchmarks. Our metaanalysis shows that most research studies find that socially responsible (SR) investments perform equal to conventional investments, but these findings are challenged by contradictory results from other studies. The second objective is to analyze SR behavior's effects on a company's financial results. We cover the period between 1986 and 2012. This paper provides future researchers with a well-documented and structured overview of the existing literature on SRI, thereby identifying gaps that might be closed by future research. Terms of use: Documents in EconStor may

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Section: Performance Of Sr Investmentsmentioning

confidence: 96%

Ethical requirement and financial interest: a literature review on socially responsible investing

Wallis¹,

Klein

2014

Bus Res

117

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“…As for Australian ethical funds, Bauer et al (2006) studies 25 ethical open-ended equity mutual funds and 281 conventional funds in the period November 1992-April 2003 and, again, concludes that ethical funds do not underperform relative to conventional funds. An analogous conclusion is obtained by Bauer et al (2007) Even, some empirical studies on the performance of socially responsible investments show evidence that SRI portfolios exhibit a better performance than unscreened conventional investments.…”

Section: Sri Vs Non Sri: the Literaturementioning

confidence: 99%

Constant and variable returns to scale DEA models for socially responsible investment funds

Basso

Funari

2014

European Journal of Operational Research

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In order to evaluate the performance of socially responsible investment (SRI) funds, we propose some models which use data envelopment analysis and can be computed in all phases of the business cycle. These models focus on the most crucial elements of an investment in mutual funds. In the literature both constant and variable returns to scale DEA models have been used to evaluate the performance of mutual funds. An empirical investigation carried out on European SRI equity funds indicates that for the funds analyzed the returns to scale are constant. Another aspect taken into account by the empirical investigation is the measurement of the degree of social responsibility of SRI equity funds in the various European countries. In addition, we have analyzed the performance of the funds considered with the different DEA models proposed, which differ in the way the ethical objective is taken into account. Moreover, the paper focuses on another crucial issue regarding socially responsible investing: the comparison of the performances between SRI and non SRI funds; the empirical study suggests that the ethical objective can be pursued without having to renounce financial rewards.

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“…Bauer, Otten, and Rad (2006) and Bauer, Koedijk, and Otten (2005) estimate fund alphas using the more recent and more elaborate four-factor Carhart (1997) model, which incorporates a momentum factor. They find that SRFs alphas are generally higher when estimated using the Carhart model relatively to the estimates from a single-factor market model.…”

Section: European Sr Funds Assets Over Total Ucitsmentioning

confidence: 99%

“…By controlling for this nature of potential biased results inherent to unconditional framework, conditional models allow for a more complete assessment of performance measures. In the context of screened portfolios, the results gathered by these models also seem to provide a better estimate of the risk-adjusted excess return (alphas) (Bauer et al, 2007, Bauer et al, 2006.…”

Section: European Sr Funds Assets Over Total Ucitsmentioning

confidence: 99%

Are European Socially Responsible Mutual Funds Rewarding and Profitable?

Torres

2013

SSRN Journal

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2013i Acknowledgments I wish to deeply thank, first and foremost, my Professor and supervisor Professor António Cerqueira, for both his tireless support and availability to follow up and criticize the content of this analysis.I would also like to express my deepest gratitude to Prof. Elísio Brandão, for his always helpful surveillance and motivational speeches.Lastly, but equally important, this dissertation would not have been possible without the unceasing support of my family, specially my mother's, who have taught me to never give up on anything.Against all the odds and against all the adversities, this work has been finished and is now the token of perseverance and resilience.Thank you.ii AbstractThe last two decades have shown us the growing importance of corporate, social and governance programs, as executives, investors and regulators have become increasingly aware of these programs' potential to mitigate corporate crises and build solid social reputation. Thus, mutual funds that invest according to social, environmental and ethical criteria have increased both in volume and value. This paper investigates the performance of a sample of 80 socially responsible mutual funds from 8 European countries, within the period from 2002 to 2010. Using both the mainstream unconditional model and the most recent conditional models, we address a performance comparison between these funds and unscreened benchmark Indices as well as socially responsible benchmark Indices. We then attest the models results by applying the classical Sharpe Ratio to our Funds sample. We find out that European socially responsible mutual funds present, in general, neutral performance when compared with both benchmark portfolios. Furthermore, performance estimates seem to be slightly higher when funds are analyzed in relation to socially responsible indices and this benchmark has higher explaining power. Conditional models also seem to lead to a slight uplift of performance estimates and of explanatory capacity of the models applied. Sharpe Ratio confirms that there is no significant performance difference between the compared elements. This is consistent with most precedent empirical findings on this issue.Our study reveals that investors can adhibit social screens to their investment choices without pledging their financial returns, contrary to portfolio theory predictions. This paper proves that it is possible to "do well (financially) while doing good (socially)".

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Ethical Investing in Australia: Is there a Financial Penalty?

Cited by 75 publications

References 38 publications

Ethical requirement and financial interest: a literature review on socially responsible investing

Ethical requirement and financial interest: a literature review on socially responsible investing

Constant and variable returns to scale DEA models for socially responsible investment funds

Are European Socially Responsible Mutual Funds Rewarding and Profitable?

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