Footnote:
In: Journal of Banking and Finance, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 6, 2012 erstellt
Description:
Compared to conventional mutual funds, socially responsible mutual funds outperform during periods of market crisis. This dampening of downside risk comes at the cost of under performing during non-crisis periods. Investors with Prospect Theory utility functions would value the skewness of these returns. This asymmetric return pattern is driven by the mutual funds that focus on environmental, social, or governance (ESG) attributes and is especially pronounced in ESG funds that use positive screening techniques. Furthermore, the observed patterns are attributed to the socially responsible attributes and not the differences in fund management or the characteristics of the companies in fund portfolios