Journals Proceedings

Abstract

In earlier research, socially responsible investment (SRI) funds were found to have either a slight underperformance or a statistically indistinguishable performance vis-à-vis conventional funds. However, the approach to testing for this performance differential has mostly been based on a dichotomous distinction between both types of funds. In our paper, we revisit earlier SRI mutual fund performance research by introducing heterogeneity in both the extent to which mutual funds can be socially responsible and the effect of covariates on estimated fund returns. To do so, we implement a robust process-oriented social responsibility sorting tool and a quantile regression estimation approach.