Publication detail

Ethical vs. Non-Ethical – Is There a Difference? Analyzing Performance of Ethical and Non-Ethical Investment Funds

Author(s): Jiří Novák M.Sc., Ph.D., Deloitte Corporate Chair, Linnéa Lundberg, Maria Vikman
Type: IES Working Papers
Year: 2009
Number: 22
ISSN / ISBN:
Published in: IES Working Papers 22/2009
Publishing place: Prague
Keywords: ethical, social responsible investment, SRI, investment, funds, portfolio, returns, risk, screening, Sweden
JEL codes: G12, C21
Suggested Citation: Lundberg, L., Novak, J., Vikman, M. (2009). “ Ethical vs. Non-Ethical – Is There a Difference? Analyzing Performance of Ethical and Non-Ethical Investment Funds ” IES Working Paper 22/2009. IES FSV. Charles University.
Grants: 402/09/P154 Financial risk measurement for evaluating stock market efficiency IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
Abstract: Ethical investments have become increasingly popular over the past years. Ethical funds restrict their investment based on environmental, social and/or ethical criteria. Prior research on the performance of ethical versus non-ethical funds yields mixed results. This paper investigates the differences in risk profiles and realized returns between ethical and non-ethical funds. A sample of 23 ethical funds and 152 non-ethical funds covering the time period between 2000 and 2007 is investigated. The analysis of the portfolio composition shows that there are small differences in the structure of portfolios concerning industry composition and company size. However, the ethical funds tend to hold more stocks in their portfolios than non-ethical ones. The results provide some evidence on the underperformance of ethical funds; this underperformance is stronger in years of poor stock market performance, which indicates that systematic risk of ethical funds may be higher.
Downloadable: WP 2009_22_Lundberg, Novak, Vikman

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