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Journal of Asset Management

, Volume 17, Issue 6, pp 408–421 | Cite as

Socially responsible investing in hedge funds

  • Greg Filbeck
  • Timothy A. Krause
  • Lauren Reis
Original Article
  • 103 Downloads

Abstract

Socially responsible investing (SRI) has gained popularity in recent years, but the evidence is mixed as to whether SRI affects investor returns. We employ several empirical methods to determine the impact of SRI on returns for U.S. equity hedge funds from 2005 to 2015. Using a propensity score matching technique, we find evidence that SRI hedge funds do significantly outperform similar non-SRI Hedge Funds on average by between 1.50 and 2.67 per cent annually. We find similar results for one subcategory of hedge funds using Fama and Macbeth (J Political Econ 81(3):607–636, 1973) regressions, and our findings are stronger when we examine returns from subperiods that do not include the global financial crisis.

Keywords

hedge funds socially responsible investing ESG investing 

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Copyright information

© Macmillan Publishers Ltd 2016

Authors and Affiliations

  1. 1.Black School of BusinessPenn State BehrendErieUSA

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