Journal of Business Ethics

, Volume 102, Issue 4, pp 519–535 | Cite as

Australian Socially Responsible Funds: Performance, Risk and Screening Intensity

  • Jacquelyn E. HumphreyEmail author
  • Darren D. Lee


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.


Socially Responsible Investment SRI funds mutual funds Australia 



Australian Graduate School of Management Centre for Research in Finance


The mimicking book-to-market portfolio


Responsible Investment Association Australasia


The mimicking size portfolio


Socially Responsible Investment


Total net asset


The mimicking momentum factor


Number of positive screens employed by an SRI mutual fund


Number of negative screens employed by an SRI mutual fund


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The authors thank Jessica Jouning and Wei-Lun Lee for their capable research assistance, and Karen Benson and Tom Smith for their helpful comments. The authors also gratefully acknowledge the financial support extended by the Accounting and Finance Association of Australia and New Zealand for.


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Copyright information

© Springer Science+Business Media B.V. 2011

Authors and Affiliations

  1. 1.School of Finance, Actuarial Studies and Applied Statistics, Level 4, College of Business and Economics Building 26CAustralian National UniversityCanberraAustralia
  2. 2.UQ Business SchoolUniversity of QueenslandBrisbaneAustralia

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