Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/196120
Authors: 
Das, Nandita
Chatterje, Swarn
Ruf, Bernadette
Sunder, Aman
Year of Publication: 
2018
Citation: 
[Journal:] Journal of Finance Issues [ISSN:] 1932-4251 [Volume:] 17 [Issue:] 1 [Pages:] 49-57
Abstract: 
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.
Subjects: 
Quantitative Finance
Mutual Funds and ETFs
Socially Responsible Investing (SRI)
ESG Ratings
Fund Performance
Risk Premium
Investment Decisions
Portfolio Performance
JEL: 
E22
E27
G11
M14
Document Type: 
Article
Document Version: 
Published Version

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