The relationship between screening intensity and performance of socially responsible investment funds

Philip Gharghori, Elizabeth Ooi

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Abstract

This chapter examines the relationship between screening intensity, which describes the degree to which stocks are filtered out of a socially responsible investment (SRI) fund's investable universe based on social concerns and performance in SRI mutual funds. Thus, in contrast to most prior research in the area, which compares SRI funds to their non-SRI counterparts, this chapter analyzes heterogeneity in SRI funds. The findings show that there is a negative curvilinear relationship between screening intensity and financial performance, which can be explained by the combined effects of stakeholder theory and modern portfolio theory. We also examine the association between screening intensity and the types of companies funds invest in and find evidence that as screening intensity increases, funds tend to invest more in growth companies.

Original languageEnglish
Title of host publicationHandbook of Environmental and Sustainable Finance
EditorsVikash Ramiah, Greg N. Gregoriou
Place of PublicationLondon UK
PublisherElsevier
Pages335-357
Number of pages23
ISBN (Print)9780128036150
DOIs
Publication statusPublished - 2016

Keywords

  • Fund performance
  • Modern portfolio theory
  • Socially responsible investing
  • Stakeholder theory

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