Socially Responsible Investing: A Critical Appraisal of the Scandinavian Mutual Fund Market

Cristiana Parisi, Andreas Stang

Research output: Contribution to conferencePaperResearchpeer-review


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


ConferenceThe 36th Annual Congress of the European Accounting Association. 2013
LocationParis-Dauphine University
Internet address

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