Becchetti, Leonardo
[VerfasserIn]
;
Ciciretti, Rocco
[Sonstige Person, Familie und Körperschaft];
Herzel, Stefano
[Sonstige Person, Familie und Körperschaft];
Dalò, Ambrogio
[Sonstige Person, Familie und Körperschaft]
Socially Responsible and Conventional Investment Funds
: Performance Comparison and the Global Financial Crisis
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 18, 2014 erstellt
Beschreibung:
We investigate the performance of Socially Responsible Funds (SRFs) and Conventional Funds (CFs) in different market segments during the 1992-2012 period. From an unbalanced sample of more that 22,000 funds, we define a matched sample using a beta-distance measure to match any SRF with the "nearest neighbor" CF in terms of risk factors. Using this novel matching approach and a recursive analysis, we identify several switch points in the lead/lag relationship between the two investment styles over time in different market segments (geographical area and size). A relevant finding of our analysis is that SRFs played an "insurance role" outperforming CFs during the 2007 global financial crisis