The performance of socially responsible investments: A meta-analysis
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
Abstract
In this article, we use a meta-analysis to examine the performance of socially responsible investing (SRI). 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 subportfolios. 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.
Details
Original language | English |
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Pages (from-to) | 1012-1061 |
Number of pages | 50 |
Journal | European financial management : the journal of the European Financial Management Association |
Volume | 30 |
Issue number | 2 |
Publication status | Published - Mar 2024 |
Peer-reviewed | Yes |
External IDs
Scopus | 85161997003 |
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WOS | 001009724100001 |
ORCID | /0000-0002-0576-7759/work/142239317 |
Keywords
Research priority areas of TU Dresden
DFG Classification of Subject Areas according to Review Boards
Subject groups, research areas, subject areas according to Destatis
ASJC Scopus subject areas
Keywords
- environmental social governance, ESG, meta-analysis, socially responsible investment, SRI, Esg, Socially responsible investment, Sri, Environmental social governance, Meta-analysis