Australian socially responsible funds: Performance, risk and screening intensity

Humphrey, Jacquelyn E. and Lee, Darren D. (2011) Australian socially responsible funds: Performance, risk and screening intensity. Journal of Business Ethics, 102 4: 519-535. doi:10.1007/s10551-011-0836-7

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Author Humphrey, Jacquelyn E.
Lee, Darren D.
Title Australian socially responsible funds: Performance, risk and screening intensity
Journal name Journal of Business Ethics   Check publisher's open access policy
ISSN 0167-4544
Publication date 2011
Sub-type Article (original research)
DOI 10.1007/s10551-011-0836-7
Volume 102
Issue 4
Start page 519
End page 535
Total pages 17
Place of publication Dordrecht, Netherlands
Publisher Springer Netherlands
Collection year 2012
Language eng
Abstract We investigate the performance and risk of Socially Responsible Investment (SRI) equity funds in the Australian market and find no significant difference between the returns of SRI and conventional funds. In an extension to prior literature, we examine the impact of the number of positive, negative and total screens funds impose on performance and risk. We find little evidence of positive or negative screening impacting total return, but find weak evidence that funds with more screens overall provide better risk-adjusted performance. Positive screening significantly reduces funds' risk. However, negative screening significantly increases risk and reduces funds' abilities to form diversified portfolios. © 2011 Springer Science+Business Media B.V.
Keyword Australia
Mutual funds
Socially Responsible Investment
SRI funds
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Article in Press. Published online: 01 April 2011.

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2012 Collection
UQ Business School Publications
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Citation counts: TR Web of Science Citation Count  Cited 18 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 23 times in Scopus Article | Citations
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Created: Thu, 19 May 2011, 16:45:24 EST by Karen Morgan on behalf of UQ Business School