Artikel

ESG Ratings and the Performance of Socially Responsible Mutual Funds: A Panel Study

zu Verbundenen Objekten

This study uses the Fama-French 5-factor model to examine the risk-adjusted performances of Socially Responsible Mutual Funds (SRMF) relative to the market over a 12-year (2005–2016) period. The timeframe of this study overlaps the periods leading up to, during, and immediately past the Great Recession. This study also examines whether the Environmental, Social, and Governance (ESG) ratings assigned to the SRMF signal fund performance over time. The results indicate that although the SRMF underperformed in the market during the 2005–2016 period, there was no difference in the SRMF performance with respect to the market during the Great Recession period. Furthermore, our results indicate that the SRMF with higher ESG ratings outperformed the SRMF with lower ESG ratings during the Great Recession period. Implications of this study’s findings for investment analysts, portfolio managers, and financial planners are included.

Sprache
Englisch

Erschienen in
Journal: Journal of Finance Issues ; ISSN: 1932-4251 ; Volume: 17 ; Year: 2018 ; Issue: 1 ; Pages: 49-57 ; Madison WI: Omnipress

Klassifikation
Wirtschaft
Investment; Capital; Intangible Capital; Capacity
Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
Portfolio Choice; Investment Decisions
Corporate Culture; Diversity; Social Responsibility
Thema
Quantitative Finance
Mutual Funds and ETFs
Socially Responsible Investing (SRI)
ESG Ratings
Fund Performance
Risk Premium
Investment Decisions
Portfolio Performance

Ereignis
Geistige Schöpfung
(wer)
Das, Nandita
Chatterje, Swarn
Ruf, Bernadette
Sunder, Aman
Ereignis
Veröffentlichung
(wer)
Omnipress
(wo)
Madison WI
(wann)
2018

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Original beim Datenpartner anzeigen

Objekttyp

  • Artikel

Beteiligte

  • Das, Nandita
  • Chatterje, Swarn
  • Ruf, Bernadette
  • Sunder, Aman
  • Omnipress

Entstanden

  • 2018

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