Socially Responsible Investing

A Critical Appraisal of the Scandinavian Mutual Fund Market

Cristiana Parisi, Andreas Stang

Research output: Contribution to conferencePaperResearchpeer-review

Abstract

This paper analyzes the Scandinavian market for Socially Responsible Investing (SRI) mutual funds in order to determine the returns from discriminatory
investment decision compared to the return from conventional portfolios. The analysis is conducted on 642 Scandinavian equity mutual funds. The
methodology adopts the Sharpe ratio to establish the risk return relationship. Moreover, the Capital Asset Pricing Model (CAPM) and the Fama and
French Three Factor model are used to test the hypotheses. The results indicate the underperformance of Swedish and Danish SRI funds relative to their
conventional counterparts. In the case of Norway no statistical difference in return is found when conducting the three factor regression. The
Scandinavian market is considered particularly relevant for the interest of the investors in SRI mutual funds. However, to the authors’ knowledge, this is
the first study to present a systematic analysis of its performance.
Original languageEnglish
Publication date2013
Number of pages30
Publication statusPublished - 2013
EventThe 36th Annual Congress of the European Accounting Association. 2013 - Paris-Dauphine University , Paris, France
Duration: 6 May 20138 May 2013
Conference number: 36
http://www.eaa2013.org/r/home

Conference

ConferenceThe 36th Annual Congress of the European Accounting Association. 2013
Number36
LocationParis-Dauphine University
CountryFrance
CityParis
Period06/05/201308/05/2013
Internet address

Bibliographical note

CBS Library does not have access to the material

Cite this

Parisi, C., & Stang , A. (2013). Socially Responsible Investing: A Critical Appraisal of the Scandinavian Mutual Fund Market. Paper presented at The 36th Annual Congress of the European Accounting Association. 2013, Paris, France.
Parisi, Cristiana ; Stang , Andreas. / Socially Responsible Investing : A Critical Appraisal of the Scandinavian Mutual Fund Market. Paper presented at The 36th Annual Congress of the European Accounting Association. 2013, Paris, France.30 p.
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Parisi, C & Stang , A 2013, 'Socially Responsible Investing: A Critical Appraisal of the Scandinavian Mutual Fund Market' Paper presented at, Paris, France, 06/05/2013 - 08/05/2013, .

Socially Responsible Investing : A Critical Appraisal of the Scandinavian Mutual Fund Market. / Parisi, Cristiana; Stang , Andreas.

2013. Paper presented at The 36th Annual Congress of the European Accounting Association. 2013, Paris, France.

Research output: Contribution to conferencePaperResearchpeer-review

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T2 - A Critical Appraisal of the Scandinavian Mutual Fund Market

AU - Parisi, Cristiana

AU - Stang , Andreas

N1 - CBS Library does not have access to the material

PY - 2013

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N2 - This paper analyzes the Scandinavian market for Socially Responsible Investing (SRI) mutual funds in order to determine the returns from discriminatoryinvestment decision compared to the return from conventional portfolios. The analysis is conducted on 642 Scandinavian equity mutual funds. Themethodology adopts the Sharpe ratio to establish the risk return relationship. Moreover, the Capital Asset Pricing Model (CAPM) and the Fama andFrench Three Factor model are used to test the hypotheses. The results indicate the underperformance of Swedish and Danish SRI funds relative to theirconventional counterparts. In the case of Norway no statistical difference in return is found when conducting the three factor regression. TheScandinavian market is considered particularly relevant for the interest of the investors in SRI mutual funds. However, to the authors’ knowledge, this isthe first study to present a systematic analysis of its performance.

AB - This paper analyzes the Scandinavian market for Socially Responsible Investing (SRI) mutual funds in order to determine the returns from discriminatoryinvestment decision compared to the return from conventional portfolios. The analysis is conducted on 642 Scandinavian equity mutual funds. Themethodology adopts the Sharpe ratio to establish the risk return relationship. Moreover, the Capital Asset Pricing Model (CAPM) and the Fama andFrench Three Factor model are used to test the hypotheses. The results indicate the underperformance of Swedish and Danish SRI funds relative to theirconventional counterparts. In the case of Norway no statistical difference in return is found when conducting the three factor regression. TheScandinavian market is considered particularly relevant for the interest of the investors in SRI mutual funds. However, to the authors’ knowledge, this isthe first study to present a systematic analysis of its performance.

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Parisi C, Stang A. Socially Responsible Investing: A Critical Appraisal of the Scandinavian Mutual Fund Market. 2013. Paper presented at The 36th Annual Congress of the European Accounting Association. 2013, Paris, France.