The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Is there a Difference? The Performance Characteristics of SRI Equity Indices
Abstract
Abstract: This study analyses whether stock indices that represent socially responsible investments (SRI) exhibit a different performance compared to conventional benchmark indices. In contrast to other studies, the analysis concentrates on SRI indices and not on investment funds. This has several advantages, since transaction costs of funds, the timing activities and the skill of the fund management do not have to be considered. A direct measure of the performance effects of SRI screens is therefore examined. The 29 SRI stock indices are analysed by single‐equation models as well as by multi‐equation systems that exploit the information in the cross‐section. SRI stock indices do not exhibit a different level of risk‐adjusted return than conventional benchmarks. But many SRI indices have a higher risk relative to the benchmarks. The findings are robust to the use of different benchmark indices and apply to all common types of SRI screening.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
The Eco-Efficiency Premium Puzzle
Derwall, J., Guenster, N., Bauer, R., & Koedijk, K. (2005) · Financial Analysts Journal · doi:10.2469/faj.v61.n2.2716 · Cited by 965 · cited 3×
“Derwall et al. (2005) is the only study that finds that SRI screening leads to a highly significant out-performance.”
Influential
Cited by
Does the stock market fully value intangibles? Employee satisfaction and equity prices
Edmans, A. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.03.021 · Cited by 2,511
Corporate goodness and shareholder wealth
Krüger, P. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.09.008 · Cited by 1,901
Metadata
- Authors
- Schröder, M.
- Venue
- Journal of Business Finance & Accounting
- Publisher
- Wiley
- Published
- 2006-10-05
- Volume
- 34
- Issue
- 1-2
- Pages
- 331-348
- ISSN
- 0306-686X (ISSN-L)
- 1468-5957
- OpenAlex
- W2103293923
- Cited by
- 315
- References
- 3
- FWCI
- 23.43
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
