The Investment Performance of Socially Responsible Investment Funds in Australia

Jones, Stewart; Laan, Sandra van der; Frost, Geoff; Loftus, Janice

doi:10.1007/s10551-007-9412-6

Cited by 128 publications

(77 citation statements)

References 37 publications

(71 reference statements)

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…However, social screening for SRI is incompatible with the modern portfolio theory. Modern portfolio theories suggest that any restrictions imposed on a portfolio's selection results in inferior performance (Das and Rao 2013;Jones et al 2008;Reyes and Grieb 1998). The underperformance of the SRI fund might be causing a smaller diversification effect.…”

Section: Resultsmentioning

confidence: 99%

The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI)

Zulkafli

Ahmad

2017

GADJAH MADA INT. J. BUS.

View full text Add to dashboard Cite

This study examines the performance of the Sri Kehati Index (SKI) against the Jakarta Composite Index (JCI) as the market index, using respective daily index prices from the 1 st of January 2009 to the 31 st of December 2014. This study uses the risk-adjusted return of Sharpe's Index, the Adjusted Sharpe's Index (ASI), Treynor's Index, Jensen's Alpha Index, the Adjusted Jensen's Alpha Index (AJI) and Sortino's Ratio to examine the performance of the SKI and the JCI. Except for Sharpe's Index and the Adjusted Sharpe's Index, the risk-adjusted return performance of the SKI (Treynor, Jensen's Alpha, Adjusted Jensen's Alpha and Sortino) outperforms the JCI as the conventional benchmark. However, Jensen's Alpha is the only performance measure that is significant and therefore supports that the SKI outperforms the JCI during the overall period from 2009 to 2014. As there is a contradiction between the adjusted returns of Sharpe's Index/Adjusted Sharpe's Index and Jensen's Alpha Index, the hypothesis that the SKI presents a higher risk adjusted performance than the JCI does, it cannot be accepted. Even though the performance of SKI in this study is slightly lower over the whole period of the study, it is still generating competitive returns. Abstrak: Penelitian ini menguji kinerja Sri Kehati Indeks (SKI) terhadap Indeks Harga Saham Gabungan (IHSG) sebagai indeks pasar, dengan menggunakan harga indeks harian masing-masing dari 1 Januari

show abstract

Section: Resultsmentioning

confidence: 99%

The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI)

Zulkafli

Ahmad

2017

GADJAH MADA INT. J. BUS.

View full text Add to dashboard Cite

show abstract

“…In the Australian context, there are relatively few studies such as those of (Bauer et al, 2006;Tippet, 2001;Cummings, 2000) which show that the performance of SRI is not significantly different with conventional investments while other studies (Jones et al, 2008) found SRI to be underperforming in the Australian context. None of these studies, however, have focused on the linkages or spill-over between SRI markets.…”

Section: Brief Review Of the Literaturementioning

confidence: 98%

Investigation of Socially Responsible Investment Markets (SRI) Using Dynamic Conditional Correlation (DCC) Method: Implications for Diversification

T.¹

2010

Journal of Mathematics and Statistics

View full text Add to dashboard Cite

Problem statement: Over the last ten years there has been a phenomenal growth in the amount of funds placed in SRI globally estimated to be around US$6.5 trillion while around US$55 billion in the Australian market. Accurate knowledge of correlation of the Australian SRI market with other SRI markets overseas is crucially important for Australian (SRI) investors for international portfolio diversification since portfolio diversification theory posits that the lower (higher) the correlation between markets, the higher (lower) the gains to be made. The study examines the relationship of the Australian SRI market with fourteen other markets-Canada, Denmark, France, Germany, Hong Kong, Ireland, Japan, Netherlands, Norway, South Africa, Sweden, Switzerland, United Kingdom and the United States. Approach: The relationships of the Australian Socially Responsible Investment (SRI) market with other SRI markets worldwide during the period 1994-2009 are examined based on the dynamic conditional correlation multivariate GARCH model (DCCMVGarch). In the DCC method, the multivariate conditional variance estimation is simplified by estimating univariate GARCH models for each market. Using the transformed residuals resulting from the first stage, the authors can estimate a conditional correlation estimator. The standard errors for the first stage parameters remain while the standard errors for the correlation parameters are modified. Results: Our results showed that the Australian market experienced a surge in correlation with all other markets during the global financial crisis. During the period of study, the correlation of Australia with Canada, Denmark, Norway and the United Kingdom increased over time while its correlation with other countries remained stationary. This implies that the Australian SRI market is becoming more integrated with those of Canada, Denmark, Norway and the United Kingdom. Therefore, these overseas markets provide less portfolio diversification benefits to Australian SRI investors while the other markets still offer some opportunities. Conclusion/Recommendations: This study examined the relationship of the Australian Socially Responsible Investment (SRI) market with other SRI markets worldwide during the period 1994-2009 based on dynamic conditional correlation multivariate GARCH model that provides accurate correlations over time that can be incorporated into portfolio models. Australian SRI market was analyzed with fourteen other markets around the world such as Canada, Denmark, France, Germany, Hong Kong, Ireland, Japan, Netherlands, Norway, South Africa, Sweden, Switzerland, United Kingdom and the United States. The results showed that the Australian market experienced a spike in correlation with the other markets during periods of market distress; for example, during the recent global financial crisis. In spite of the fluctuations in the correlations of Australian with the other markets the correlations generally remain below 1. Australia's correlation with Denmark, Norway and Japan in...

show abstract

“…Moreover, highly profitable and leveraged firms feel free to contribution to CSR and increase their reputation. On the other hand, many studies found positive (Ruf, Muralidhar, Brown, Janney, & Paul, 2001;Vitezic, 2011;Waddock & Graves, 1997) or negative (Jaggi & Freedman, 1992;Jones, Van der Laan, Frost, & Loftus, 2008;Makni, Francoeur, & Bellavance, 2009) relation between profitability and CSR level. Based on the discussion above, the fifth, sixth, and seventh hypotheses are given below:…”

Section: Research Purpose and Hypothesesmentioning

confidence: 99%

The Relationship Between Corporate Social Responsibility Reporting and Corporate Governance: Evidence from Turkish Banking Sector

Akdoğan¹,

Gülhan²,

Aktaş³

2017

JMAA

View full text Add to dashboard Cite

The Investment Performance of Socially Responsible Investment Funds in Australia

Abstract: investment performance, SRI funds, capital asset pricing model,

Cited by 128 publications

References 37 publications

The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI)

The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI)

Investigation of Socially Responsible Investment Markets (SRI) Using Dynamic Conditional Correlation (DCC) Method: Implications for Diversification

The Relationship Between Corporate Social Responsibility Reporting and Corporate Governance: Evidence from Turkish Banking Sector

Contact Info

Product

Resources

About