Socially responsible investment fund performance: The impact of screening intensity

Lee, Darren D., Humphrey, Jacquelyn E., Benson, Karen L. and Ahn, Jason Y. K. (2010) Socially responsible investment fund performance: The impact of screening intensity. Accounting and Finance, 50 2: 351-370. doi:10.1111/j.1467-629X.2009.00336.x

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Author Lee, Darren D.
Humphrey, Jacquelyn E.
Benson, Karen L.
Ahn, Jason Y. K.
Title Socially responsible investment fund performance: The impact of screening intensity
Journal name Accounting and Finance   Check publisher's open access policy
ISSN 0810-5391
1467-629X
Publication date 2010-06-01
Sub-type Article (original research)
DOI 10.1111/j.1467-629X.2009.00336.x
Volume 50
Issue 2
Start page 351
End page 370
Total pages 20
Place of publication Richmond, Vic., Australia
Publisher Wiley-Balckwell Publishing Asia
Collection year 2011
Language eng
Formatted abstract
Perhaps the most common criticism of socially responsible investment funds is that imposing non-financial screens restricts investment opportunities, reduces diversification efficiencies and thereby adversely impacts performance. In this study we investigate this proposition and test whether the number of screens employed has a linear or curvilinear relation with return. Moreover, we analyse the link between screening intensity and risk. Screening intensity has no effect on unadjusted (raw) returns or idiosyncratic risk. However, we find a significant reduction in α of 70 basis points per screen using the Carhart performance model. Increased screening results in lower systematic risk – in line with managers choosing lower β stocks to minimize overall risk.
© The Authors. Journal compilation © 2010 AFAANZ
Keyword Socially responsible investment
Socially responsible investment funds
Mutual funds
G11
M14
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2011 Collection
UQ Business School Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 34 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 41 times in Scopus Article | Citations
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Created: Fri, 10 Dec 2010, 18:51:57 EST by Karen Morgan on behalf of UQ Business School