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| Author: | Mill, G.A. |
| Title: | The financial performance of a socially responsible investment over time and a possible link with corporate social responsibility |
| Journal: | Journal of Business Ethics
2006 : JAN II, VOL. 63:2, p. 131-148 |
| Index terms: | corporate responsibility financial performance investments social responsibility |
| Language: | eng |
| Abstract: | This article studies the financial performance of a UK unit trust that was initially "conventional" and later adopted socially responsible investment (SRI) principles. The author makes a comparison with three similar conventional funds whose investment objectives remained unchanged. It is shown that mean risk-adjusted performance is unchanged by the switch to SRI, with no evidence of over- or under-performance relative to the benchmark market index by any of the four funds. Changes in variability of returns over time are also modelled using generalised autoregressive conditional heteroscedasticity models. The results suggest a temporary increase in variability of returns, followed by a return to previous levels after 4 years. The increased variability is associated with the adoption of SRI rather than with a change in fund management. |
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