Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance?

References

• Aglietta, M., M. Brière, S. Rigot, and O. Signori. 2012. “Rehabilitating the Role of Active Management for Pension Funds.” Journal of Banking & Finance, vol. 36, no. 9 (September): 2565–2574.
   Google Scholar
• Attig, N., S. El Ghoul, O. Guedhami, and J. Suh. 2013. “Corporate Social Responsibility and Credit Ratings.” Journal of Business Ethics, vol. 117, no. 4: 679–694.
   Web of Science ®Google Scholar
• Bauer, R., K. Koedijk, and R. Otten. 2005. “International Evidence on Ethical Mutual Fund Performance and Investment Style.” Journal of Banking & Finance, vol. 7, no. 29 (July): 1751–1767.
   Google Scholar
• Bauer, R., R. Otten, and A.T. Rad. 2006. “Ethical Investing in Australia: Is There a Financial Penalty?” Pacific-Basin Finance Journal, vol. 14, no. 1 (January): 33–48.
   Google Scholar
• Benson, K.L., T.J. Brailsford, and J.E. Humphrey. 2006. “Do Socially Responsible Fund Managers Really Invest Differently?” Journal of Business Ethics, vol. 65, no. 4 (June): 337–357.
   Google Scholar
• Bloomberg. 2013. “Bloomberg Fund Classifications, Guide to Our New Funds Classification System.” .
   Google Scholar
• Brière, M., and A. Szafarz. 2008. “Crisis-Robust Bond Portfolios.” Journal of Fixed Income, vol. 18, no. 2 (Fall): 57–70.
   Google Scholar
• Brinson, G.P., L.R. Hood, and G.L. Beebower. 1986. “Determinants of Portfolio Performance.” Financial Analysts Journal, vol. 42, no. 4 (June/July): 39–44.
   Google Scholar
• Capelle-Blancard, G., and S. Monjon. 2014. “The Performance of Socially Responsible Funds: Does the Screening Process Matter?” European Financial Management, vol. 20, no. 3 (June): 494–520.
   Google Scholar
• Climent, F., and O. Soriano. 2011. “Green and Good? The Investment Performance of US Environmental Mutual Funds.” Journal of Business Ethics, vol. 103, no. 2 (October): 275–286.
   Google Scholar
• Curran, M., and D. Moran. 2007. “Impact of the FTSE4Good Index on Firm Price: An Event Study.” Journal of Environmental Management, vol. 82, no. 4 (March): 529–537.
   Google Scholar
• Derwall, J.N., N. Guenster, R. Bauer, and K. Koedijk. 2005. “The Eco-Efficiency Premium Puzzle.” Financial Analysts Journal, vol. 61, no. 2 (March/April): 53–64.
   Google Scholar
• Derwall, J.N., K. Koedijk, and J. Ter Horst. 2011. “A Tale of Values-Driven and Profit-Seeking Social Investors.” Journal of Banking & Finance, vol. 35, no. 8 (August): 2137–2147.
   Google Scholar
• Fung, W., and D.A. Hsieh. 1997. “Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds.” Review of Financial Studies, vol. 10, no. 2 (December): 275–302.
   Google Scholar
• Geczy, C.C., R. Stambaugh, and D. Levin. 2005. “Investing in Socially Responsible Mutual Funds.” Working paper, University of Pennsylvania (October).
   Google Scholar
• Gil-Bazo, J., P. Ruiz-Verdú, and A.A.P. Santos. 2010. “The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies.” Journal of Business Ethics, vol. 94, no. 2 (June): 243–263.
   Google Scholar
• Hamilton, S., H. Joe, and M. Statman. 1993. “Doing Well While Doing Good? The Investment Performance of Socially Responsible Mutual Funds.” Financial Analysts Journal, vol. 49, no. 6 (November/December): 62–66.
   Google Scholar
• Henke, H.M.. 2016. “The Effect of Social Screening on Bond Mutual Fund Performance.” Journal of Banking & Finance, vol. 67, no. (June): 69–84.
   Google Scholar
• Ibbotson, R.G., and P.D. Kaplan. 2000. “Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?” Financial Analysts Journal, vol. 56, no. 1 (January/February): 26–33.
   Google Scholar
• Jo, H., and H. Na. 2012. “Does CSR Reduce Firm Risk? Evidence from Controversial Industry Sectors.” Journal of Business Ethics, vol. 110, no. 4 (November): 441–456.
   Google Scholar
• Jones, S., S. van der Laan, G. Frost, and J. Loftus. 2008. “The Investment Performance of Socially Responsible Investment Funds in Australia.” Journal of Business Ethics, vol. 80, no. 2 (June): 181–203.
   Google Scholar
• Kempf, A., and P. Osthoff. 2007. “The Effect of Socially Responsible Investing on Portfolio Performance.” European Financial Management, vol. 13, no. 5 (November): 908–922.
   Google Scholar
• Kim, Y., H. Li, and S. Li. 2014. “Corporate Social Responsibility and Stock Price Crash Risk.” Journal of Banking & Finance, vol. 43 (June): 1–13.
   Google Scholar
• Kreander, N., R.H. Gray, D.M. Power, and C.D. Sinclair. 2005. “Evaluating the Performance of Ethical and Non-Ethical Funds: A Matched Pair Analysis.” Journal of Business Finance & Accounting, vol. 32, no. 7–8 (September): 1465–1493.
   Google Scholar
• Manescu, C.. 2011. “Stock Returns in Relation to Environmental, Social and Governance Performance: Mispricing or Compensation for Risk?” Sustainable Development, vol. 19, no. 2: 95–118.
   Web of Science ®Google Scholar
• MSCI ESG Research. 2014. “Executive Summary: Intangible Value Assessment (IVA) Methodology.” (https://www.msci.com/documents/10199/242721/IVA_Methodology_SUMMARY.pdf).
   Google Scholar
• MSCI ESG Research. 2015. “ESG Ratings Methodology, Executive Summary.” (https://www.msci.com/eqb/methodology/meth_docs/Executive_Summary_MSCI_ESG_Ratings_Methodology.pdf).
   Google Scholar
• MSCI US Equity Indices Methodology. 2011. “Index Construction Objectives and Methodology for the MSCI US Equity Indices.” (https://www.msci.com/eqb/methodology/meth_docs/MSCI_Nov11_USMethod.pdf).
   Google Scholar
• Nofsinger, J., and A. Varma. 2014. “Socially Responsible Funds and Market Crises.” Journal of Banking & Finance, vol. 48, no. 11 (November): 180–193.
   Google Scholar
• Renneboog, L., J. Ter Horst, and C. Zhang. 2008. “The Price of Ethics and Stakeholder Governance: The Performance of Socially Responsible Mutual Funds.” Journal of Corporate Finance, vol. 14, no. 3 (June): 302–322.
   Google Scholar
• Renneboog, L., J. Ter Horst, and C. Zhang. 2011. “Is Ethical Money Financially Smart? Nonfinancial Attributes and Money Flows of Socially Responsible Investment Funds.” Journal of Financial Intermediation, vol. 20, no. 4 (October): 562–588.
   Google Scholar
• Sauer, D.A.. 1997. “The Impact of Social-Responsibility Screens on Investment Performance: Evidence from the Domini 400 Social Index and Domini Equity Mutual Fund.” Review of Financial Economics, vol. 6, no. 2: 137–149.
   Google Scholar
• Sensoy, B.A.. 2009. “Performance Evaluation and Self-Designated Benchmark Indexes in the Mutual Fund Industry.” Journal of Financial Economics, vol. 92, no. 1 (April): 25–39.
   Google Scholar
• Sharpe, W.F.. 1992. “Asset Allocation: Management Style and Performance Measurement.” Journal of Portfolio Management, vol. 18, no. 2 (December): 7–19.
   Google Scholar
• Social Investment Forum. 2016. Report on US Sustainable, Responsible and Impact Investing Trends 2016 11th ed. (http://www.ussif.org/trends).
   Google Scholar
• Statman, M.. 2000. “Socially Responsible Mutual Funds.” Financial Analysts Journal, vol. 56, no. 3 (May/June): 30–39.
   Google Scholar
• Statman, M.. 2006. “Socially Responsible Indexes: Composition, Performance and Tracking Error.” Journal of Portfolio Management, vol. 32, no. 3 (Spring): 100–109.
   Google Scholar
• Statman, M., and D. Glushkov. 2009. “The Wages of Social Responsibility.” Financial Analysts Journal, vol. 65, no. 4 (July/August): 33–46.
   Google Scholar
• Statman, M., and D. Glushkov. 2016. “Classifying and Measuring the Performance of Socially Responsible Mutual Funds.” Journal of Portfolio Management, vol. 42, no. 2 (Winter): 140–151.
   Google Scholar
• Stenström, H.C., and J.J. Thorell. 2007. “Evaluating the Performance of Socially Responsible Investment Funds: A Holding Data Analysis.” Working paper, Stockholm School of Economics.
   Google Scholar
• Vardharaj, R., and F.J. Fabozzi. 2007. “Sector, Style, Region: Explaining Stock Allocation Performance.” Financial Analysts Journal, vol. 63, no. 3 (May/June): 59–70.
   Google Scholar
• Xiong, J.X., R.G. Ibbotson, T.M. Idzorek, and P. Chen. 2010. “The Equal Importance of Asset Allocation and Active Management.” Financial Analysts Journal, vol. 66, no. 2 (March/April): 1–9.
   Google Scholar
• Ziegler, A., and M. Schröder. 2010. “What Determines the Inclusion in a Sustainability Stock Index? A Panel Data Analysis for European Firms.” Ecological Economics, vol. 69, no. 4 (February): 848–856.
   Google Scholar