Are socially responsible investment funds seasonal?

ABSTRACT

We study the existence of seasonality effects in USA SRI mutual funds from November 1990 to April 2019. We analyse whether SRI funds focus on non-financial aspects and reduce the importance of changing their behaviour in certain calendar periods with the purpose of achieving better performance in these seasons. Considering several investment areas (Asia, Europe, Japan, USA and global), we study the season patterns on monthly, quarterly, and second-half yearly basis. In general, our results do not show seasonality behaviour. Consequently, SRI mutual funds do not vary their behaviour in certain calendar periods, revealing a more stable investment conduct, consistent with non-financial preferences

KEYWORDS:

• Mutual funds
• seasonality
• SRI

JEL CLASSIFICATION:

• G11
• G23

Acknowledgments

The authors would like to express their thanks to University of Zaragoza and Fundación Ibercaja [Grant JIUZ-2020-SOC-02 (268-260)], Grant RTI2018-093483-B-I00 funded by MCIN /10.13039/50110001103 and by ERDF (a way of making Europe), and Grant S38_17R funded by the Government of Aragon (S38_17R) and by ERDF.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

¹ These data are obtained from the French website: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/

Additional information

Funding

This work was supported by Grant JIUZ-2020-SOC-02 (268-260) funded by University of Zaragoza and Fundación Ibercaja, Grant RTI2018-093483-B-I00 funded by MCIN /10.13039/50110001103 and by ERDF; a way of making Europe, and Grant S38_17R funded by the Government of Aragon (S38_17R) and by ERDF.