Performance and performance persistence of socially responsible investment funds in Europe and North America

Hooi Hooi Lean, Wei Rong Ang, Russell Leigh Smyth

Research output: Contribution to journalArticleResearchpeer-review

17 Citations (Scopus)

Abstract

We analyze, and compare, performance and performance persistence of Socially Responsible Investment (SRI) funds in Europe and North America. We use a broad sample of 500 European and 248 North American SRI funds for the period January 2001-December 2011. We find that SRI funds outperform the market benchmark in Europe and North America over this period and that North American SRI funds perform better than European SRI funds. We find little evidence of performance persistence in either region using a ranked portfolio approach; however, there is more evidence of performance persistence in European SRI funds than in their North American counterparts using a non-parametric ranked portfolio approach.
Original languageEnglish
Pages (from-to)254 - 266
Number of pages13
JournalNorth American Journal of Economics and Finance
Volume34
DOIs
Publication statusPublished - 2015

Cite this

@article{2ab93442821343dda689b11163459cfc,
title = "Performance and performance persistence of socially responsible investment funds in Europe and North America",
abstract = "We analyze, and compare, performance and performance persistence of Socially Responsible Investment (SRI) funds in Europe and North America. We use a broad sample of 500 European and 248 North American SRI funds for the period January 2001-December 2011. We find that SRI funds outperform the market benchmark in Europe and North America over this period and that North American SRI funds perform better than European SRI funds. We find little evidence of performance persistence in either region using a ranked portfolio approach; however, there is more evidence of performance persistence in European SRI funds than in their North American counterparts using a non-parametric ranked portfolio approach.",
author = "Lean, {Hooi Hooi} and Ang, {Wei Rong} and Smyth, {Russell Leigh}",
year = "2015",
doi = "10.1016/j.najef.2015.09.011",
language = "English",
volume = "34",
pages = "254 -- 266",
journal = "North American Journal of Economics and Finance",
issn = "1062-9408",
publisher = "Elsevier",

}

Performance and performance persistence of socially responsible investment funds in Europe and North America. / Lean, Hooi Hooi; Ang, Wei Rong; Smyth, Russell Leigh.

In: North American Journal of Economics and Finance, Vol. 34, 2015, p. 254 - 266.

Research output: Contribution to journalArticleResearchpeer-review

TY - JOUR

T1 - Performance and performance persistence of socially responsible investment funds in Europe and North America

AU - Lean, Hooi Hooi

AU - Ang, Wei Rong

AU - Smyth, Russell Leigh

PY - 2015

Y1 - 2015

N2 - We analyze, and compare, performance and performance persistence of Socially Responsible Investment (SRI) funds in Europe and North America. We use a broad sample of 500 European and 248 North American SRI funds for the period January 2001-December 2011. We find that SRI funds outperform the market benchmark in Europe and North America over this period and that North American SRI funds perform better than European SRI funds. We find little evidence of performance persistence in either region using a ranked portfolio approach; however, there is more evidence of performance persistence in European SRI funds than in their North American counterparts using a non-parametric ranked portfolio approach.

AB - We analyze, and compare, performance and performance persistence of Socially Responsible Investment (SRI) funds in Europe and North America. We use a broad sample of 500 European and 248 North American SRI funds for the period January 2001-December 2011. We find that SRI funds outperform the market benchmark in Europe and North America over this period and that North American SRI funds perform better than European SRI funds. We find little evidence of performance persistence in either region using a ranked portfolio approach; however, there is more evidence of performance persistence in European SRI funds than in their North American counterparts using a non-parametric ranked portfolio approach.

U2 - 10.1016/j.najef.2015.09.011

DO - 10.1016/j.najef.2015.09.011

M3 - Article

VL - 34

SP - 254

EP - 266

JO - North American Journal of Economics and Finance

JF - North American Journal of Economics and Finance

SN - 1062-9408

ER -