Journal of Business Ethics

, Volume 118, Issue 2, pp 349–363 | Cite as

The Influence of Primary Study Characteristics on the Performance Differential Between Socially Responsible and Conventional Investment Funds: A Meta-Analysis



Empirical studies, which analyze the performance of socially responsible investment (SRI) funds relative to conventional funds, find contradictory results. The aim of this paper is to investigate, with the help of a meta-analysis, how selected primary study characteristics influence the probability of a significant under- or outperformance of SRI funds compared with conventional funds. 25 studies with more than 500 observations are included in the meta-analysis. The results of this paper suggest that the consideration of the survivorship bias in a study increases (decreases) the probability of a significant outperformance (underperformance) of SRI funds relative to conventional funds. The focus on United States (US) SRI funds increases (decreases) the probability of a significant outperformance (underperformance) too. The time period influences the probability of a significant under- and outperformance of SRI funds as well, but based on the results of this paper, it is not possible to draw general conclusions on this variable.


Corporate social responsibility (CSR) Ethical investment Fund performance Socially responsible investment (SRI) Sustainability 



I want to thank Hannes Winner for his valuable suggestions throughout the process of conducting this paper and Claudia B. Woehle for her general support and feedback. Furthermore, I appreciate the very helpful comments of the two anonymous reviewers. Several (former) colleagues at the University of Salzburg helped to improve the paper significantly – namely, Harald Oberhofer, Benjamin Furlan, Andreas Pacher, Matthias Stöckl, Philipp Weigl, Klaus Nowotny and Alex Avedikjan. I am deeply grateful to Magdalena Braendle for our fruitful discussions and her suggestions for improvement.


  1. *Bauer, R., Koedijk, K., & Otten, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking and Finance, 29(7), 1751–1767.Google Scholar
  2. *Bauer, R., Otten, R., & Rad, A. T. (2006). Ethical investing in Australia, is there a financial penalty? Pacific-Basin Finance Journal, 14(1), 33–48.Google Scholar
  3. *Bauer, R., Derwall, J., & Otten, R. (2007). The ethical mutual fund performance debate: New evidence from Canada. Journal of Business Ethics, 70(2), 111–124.Google Scholar
  4. *Bello, Z. Y. (2005). Socially responsible investing and portfolio diversification. Journal of Financial Research, 28(1), 41–57.Google Scholar
  5. Bengtsson, E. (2008). A history of scandinavian socially responsible investing. Journal of Business Ethics, 82(4), 969–983.CrossRefGoogle Scholar
  6. *Benson, K. L., Brailsford, T. J., & Humphrey, J. E. (2006). Do socially responsible fund managers really invest differently?. Journal of Business Ethics, 65(4), 337–57.Google Scholar
  7. *Bollen, N. (2007). Mutual fund attributes and investor behavior. Journal of Financial and Quantitative Analysis, 42(3), 683–708.Google Scholar
  8. Borenstein, M., Hedges, L. V., Higgins, J. P. T., & Rothstein, H. R. (2009). Introduction to meta-analysis. West Sussex: Wiley.CrossRefGoogle Scholar
  9. Brown, S. J., Goetzmann, W., Ibbotson, R. G., & Ross, S. A. (1992). Survivorship bias in performance studies. The Review of Financial Studies, 5(4), 553–580.CrossRefGoogle Scholar
  10. Capelle-Blancard, G., & Monjon, S. (2010). The performance of socially responsible funds: Does the screening process matter? Paris: Working paper, Université Paris 1 Panthéon-Sorbonne.Google Scholar
  11. Carhart, M. M. (1997). On the persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82.CrossRefGoogle Scholar
  12. *Chang, C. E., & Witte, H. D. (2010). Performance evaluation of U.S. socially responsible mutual funds: Revisiting doing good and doing well. American Journal of Business, 25(1), 9–22.Google Scholar
  13. Chegut, A., Schenk, H., & Scholtens, B. (2011). Assessing SRI fund performance research: Best practices in empirical analysis. Sustainable Development, 19(2), 77–94.CrossRefGoogle Scholar
  14. Cortez, M. C., Silva, F., & Areal, N. (2009). The performance of european socially responsible funds. Journal of Business Ethics, 87(4), 573–588.CrossRefGoogle Scholar
  15. *Derwall, J., & Koedijk, K. (2009). Socially responsible fixed-income funds. Journal of Business Finance & Accounting, 36(1/2), 210–229.Google Scholar
  16. Eurosif. (2010). European SRI Study 2010. Paris.Google Scholar
  17. Ferson, W. E., & Schadt, R. W. (1996). Measuring fund strategy and performance in changing economic conditions. The Journal of Finance, 51(2), 425–461.CrossRefGoogle Scholar
  18. García-Quevedo, J. (2004). Do public subsidies complement business R&D? A meta-analysis of the econometric evidencec. Kyklos, 57(1), 87–102.CrossRefGoogle Scholar
  19. *Gil-Bazo, J., Ruiz-Verdu, P., & Portela, A. A. P. (2010). The performance of socially responsible mutual funds: the role of fees and management companies. Journal of Business Ethics, 94(2), 243–263.Google Scholar
  20. *Goldreyer, E. F., Ahmed, P., & Diltz, J. D. (1999). The performance of socially responsible mutual funds: incorporating sociopolitical information in portfolio selection. Managerial Finance, 25(1), 23–36.Google Scholar
  21. *Gregory, A., & Whittaker, J. (2007). Performance and performance persistence of ethical unit trusts in the UK. Journal of Business Finance & Accounting, 34(7–8), 1327–1344.Google Scholar
  22. *Gregory, A., Matatko, J., & Luther, R. (1997). Ethical unit trust financial performance: Small company effects and fund size effects. Journal of Business Finance & Accounting, 24(5), 705–725.Google Scholar
  23. *Hamilton, S., Jo, H., & Statman, M. (1993). Doing well while doing good? The investment performance of socially responsible mutual funds. Financial Analysts Journal, 49(6), 62–66.Google Scholar
  24. Heal, G. (2008). When principles pay. Corporate social responsibility and the bottom line. New York: Columbia University Press.Google Scholar
  25. Hoepner, A. G. F., & McMillan, D. G. (2009). Research on ‘responsible investment’: An influential literature analysis comprising a rating, characterisation, categorisation & investigation. St. Andrews: Working paper, University of St. Andrews.Google Scholar
  26. Horvathova, E. (2010). Does environmental performance affect financial performance? A meta-analysis. Ecological Economics, 70(1), 52–59.CrossRefGoogle Scholar
  27. *Humphrey, J. E., & Lee, D. D. (2011). Australian socially responsible funds: Performance, risk and screening intensity. Journal of Business Ethics, 102(4), 519–533.Google Scholar
  28. Hunter, J. E., & Schmidt, F. L. (1990). Methods of meta-analysis. Correcting error and bias in research findings. Newbury Park: Sage Publications.Google Scholar
  29. Jensen, M. C. (1968). The performance of mutual funds in the period 1945–1964. The Journal of Finance, 23(2), 389–416.CrossRefGoogle Scholar
  30. *Kempf, A., & Osthoff, P. (2008). SRI funds: nomen est omen. Journal of Business Finance and Accounting, 35(9/10), 1276–1294.Google Scholar
  31. *Koellner, T., Suh, S., Weber, O., Moser, C., & Scholz, R. W. (2007). Environmental impacts of conventional and sustainable investment funds compared using input-output life-cycle assessment. Journal of Industrial Ecology, 11(3), 41–60.Google Scholar
  32. *Kreander, N., Gray, R. H., Power, D. M., & Sinclair, C. D. (2005). Evaluating the performance of ethical and non-ethical funds: A matched pair analysis. Journal of Business Finance & Accounting, 32(7–8), 1465–1493.Google Scholar
  33. *Kryzanowski, L., Ayadi, M., & Ben-Ameur, H. (2011). Luck versus skill in the cross-section of ethical mutual funds. Montreal: Working paper, Concordia University.Google Scholar
  34. *Liedekerke, L. V., De Moor, L., & Walleghem, D. V. (2007). Risk-return of Belgian SRI funds. Tijdschrift voor Economie en Management, 52(4), 673–685Google Scholar
  35. Louche, C., & Lydenberg, S. (2006). Socially responsible investment: Differences between Europe and United States. Gent: Working paper, Vlerick Leuven Gent Management School.Google Scholar
  36. *Mueller, S. (1991). The opportunity cost of discipleship: Ethical mutual funds and their returns. Sociological Analysis, 52(1), 111–124.Google Scholar
  37. Nelson, J. P., & Kennedy, P. E. (2009). The use (and abuse) of meta-analysis in environmental and natural resource economics: an assessment. Environmental & Resource Economics, 43(3), 345–377.Google Scholar
  38. Orlitzky, M., Schmidt, F. L., & Rynes, S. L. (2003). Corporate social and financial performance: A meta-analysis. Organization Studies, 24(3), 403–441.CrossRefGoogle Scholar
  39. Renneboog, L., Horst, J. T., & Zhang, C. (2008a). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking & Finance, 32(9), 1723–1742.CrossRefGoogle Scholar
  40. *Renneboog, L., Horst, J. T., & Zhang, C. (2008b). The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of Corporate Finance, 14(3), 302–322.Google Scholar
  41. *Sánchez, J. L. F., & Sotorrío, L. L. (2009). Performance of European SRI funds vs. conventional funds. Santander: Working paper, University of Cantabria.Google Scholar
  42. Sparkes, R., & Cowton, C. J. (2004). The maturing of socially responsible investment. A review of the developing link with corporate social responsibility. Journal of Business Ethics, 52(1), 45–57.CrossRefGoogle Scholar
  43. *Spekl, A. (2009). European evidence on SRI mutual fund performance. Maastricht: Unpublished master thesis, Universiteit Maastricht.Google Scholar
  44. *Statman, M. (2000). Socially responsible mutual funds. Financial Analysts Journal, 56(3), 30–39.Google Scholar
  45. *Stenström, C., & Thorell, J. J. (2007). Evaluating the performance of socially responsible investment funds: A holding data analysis. Stockholm: Unpublished master thesis, Stockholm School of Economics.Google Scholar
  46. Van Beurden, P., & Goessling, T. (2008). The worth of values. A literature review on the relation between corporate social and financial performance. Journal of Business Ethics, 82(2), 407–424.CrossRefGoogle Scholar
  47. Vigeo. (2011). Green, social and ethical funds in Europe. 2011 Review’, Paris.Google Scholar

Copyright information

© Springer Science+Business Media Dordrecht 2012

Authors and Affiliations

  1. 1.Department of Economics and Social SciencesUniversity of SalzburgSalzburgAustria

Personalised recommendations