Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/71865 
Year of Publication: 
2013
Series/Report no.: 
Working Papers in Economics and Finance No. 2013-01
Publisher: 
University of Salzburg, Department of Social Sciences and Economics, Salzburg
Abstract: 
The aim of this paper is to compare the financial performance of Austrian SRI funds to the performance of Austrian conventional funds. 43 SRI and 1395 conventional funds are found for the analysis. Jensen's alpha and Carhart's 4-factor alpha are used to evaluate fund performance. The results suggest that throughout the sample period from 02/1992 to 3/2012 there was not any performance difference between the two types of funds. However, more detailed results show that SRI equity (debt) funds significantly outperform (underperform) their conventional peers. SRI funds significantly outperform (underperform) conventional funds in the second (first) half of the sample period. Furthermore, signing up to the European SRI Transparency Code (as a proxy for SRI quality) as well as using a matching procedure influence the observed results.
Subjects: 
Ethical investment
Investment fund performance
Socially Responsible Investment (SRI)
Sustainability
JEL: 
G12
M14
Document Type: 
Working Paper

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