Socially Responsible Investments in Germany, Switzerland and the United States


Schröder, Michael


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URL: https://ub-madoc.bib.uni-mannheim.de/187
URN: urn:nbn:de:bsz:180-madoc-1871
Document Type: Working paper
Year of publication: 2003
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: Q20 Q01 G23 G11 ,
Subject headings (SWD): Investition , Soziale Verantwortung
Abstract: The aim of this study is the analysis of so called socially responsible investments(SRI). First, the performance of SRI equity investment funds and equity indices is investigated using Jensen´s alpha as performance measure. The analysis considers market timing strategies of the fund management and takes publicly available information into account (conditional performance). In the second part sensitivities regarding macroeconomic factors are estimated and the third part investigates the investment style of the SRI funds and indices. It is found that most of the SRI assets have a similar performance than their benchmarks. Only a few funds and indices exhibit a relatively poor performance. As SRI funds and indices seem to have some specific risk-return characteristics (investment styles) that might be characterised as special investment vehicles different from conventional assets.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Schröder, Michael (2003) Socially Responsible Investments in Germany, Switzerland and the United States. Open Access [Working paper]
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