SOCIALLY RESPONSIBLE INVESTING IN THE GLOBAL MARKET: THE PERFORMANCE OF US AND EUROPEAN FUNDS
研究了美国和欧洲全球社会责任基金的投资风格与绩效，发现多数基金与基准无显著差异，但美国和奥地利基金表现不佳，且基金存在时间变动的贝塔和本土偏好。
ABSTRACT This paper investigates the style and performance of US and European global socially responsible funds. Several specifications of the return‐generating process are applied as well as their corresponding conditional versions. Most European global socially responsible funds do not show significant performance differences in relation to both conventional and socially responsible benchmarks. US funds and Austrian funds show evidence of underperformance. By applying conditional models, we find evidence of time‐varying betas but not of time‐varying alphas. With respect to investment style, we find evidence that socially responsible funds are strongly exposed to small cap and growth stocks. Although these results are consistent with previous studies, they uncover some misclassification issues in these funds. Finally, we also document a significant home bias for global socially responsible funds. Copyright © 2011 John Wiley & Sons, Ltd.