Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/260854 
Year of Publication: 
2022
Series/Report no.: 
CESifo Working Paper No. 9724
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
In this article, we use a meta-analysis to examine the performance of socially responsible investing (SRI). After a thorough literature search, we review 153 empirical studies containing 1,047 observations of SRI performance. We find that, on average, SRI neither outperforms nor underperforms the market portfolio. However, in line with modern portfolio theory, we find that global SRI portfolios outperform regional sub-portfolios. Moreover, high-quality publications, publications in finance journals, and authors who publish more frequently on SRI are all less likely to report SRI outperformance. In particular, we find that including more factors in a capital market model reduces the likelihood that a study will find SRI outperformance. These findings have important implications for the policy evaluation of environmental, social, and governance goals in general, the asset management literature in particular, and the perspective of different scientific disciplines.
Subjects: 
environmental social governance
ESG
socially responsible investment
SRI
meta-analysis
JEL: 
G11
G12
M14
Document Type: 
Working Paper
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