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 language | English |
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Title of host publication | Handbook of Environmental and Sustainable Finance |
Editors | Vikash Ramiah, Greg N. Gregoriou |
Place of Publication | London UK |
Publisher | Elsevier |
Pages | 335-357 |
Number of pages | 23 |
ISBN (Print) | 9780128036150 |
DOIs | |
Publication status | Published - 2016 |
Keywords
- Fund performance
- Modern portfolio theory
- Socially responsible investing
- Stakeholder theory