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Journal of Business Ethics
Published in: Journal of Business Ethics 1/2018

07-05-2016

Evaluation of the Cultural Environment’s Impact on the Performance of the Socially Responsible Investment Funds

Authors: Francisco José López-Arceiz, Ana José Bellostas-Pérezgrueso, José Mariano Moneva

Published in: Journal of Business Ethics | Issue 1/2018

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Abstract

Socially responsible (SR) mutual funds match financial and environmental, social, and governance criteria in their portfolio management strategies. Several studies have examined the behavior of these funds in terms of return–risk, obtaining very different results. The present study discusses previous results and shows how these funds often outperform their conventional counterparts. Rather than the SR (or non) character of a mutual fund, a relevant explanation for this behavior is the cultural environment in which the fund operates. Thus, the ethical framework or corporate social responsibility used by the fund and its management must be assessed by considering the cultural context of the fund. This notion is the main contribution of this paper.
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Appendix
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Footnotes
1
From 1999 to 2014, the Spanish legal framework (Memorandum Circular of November 15, 1999) referred to this type of funds as ethical investment funds. Since 2014 (Memorandum Circular of April 8, 2014), these funds have been known as socially responsible mutual funds. Bauer et al. (2005) note the same confusion in the economic literature because traditionally in the European context, the word ethic is more common, while in the US context, this type of mutual funds has been related to socially responsible investment. Following these authors, in this paper, we use both expressions interchangeably.
 
2
The definition of different screenings can be checked in GRI (2011), INVERCO (1999, 2014), or Muñoz et al. (2015), among others. In any case, these criteria are defined based on a particular cultural setting.
 
3
However, it is possible to find ethical funds that are not solidarity funds because they do not allocate a part of their return to funding social projects (Lizcano and Moneva 2004).
 
4
Renneboog et al. (2008) give different possible explanations for these results. In the case of “underperformance,” the mission statement limits the full diversification potential, while in the case of “outperformance,” social and environmental performance is a sign of high managerial quality, which translates to favorable financial performance (Fombrun and Shanley 1990; Brekke and Nyborg 2004; Fisman et al. 2007; Moneva and Ortas 2010). Furthermore, social, ethical, and environmental screening may reduce the high litigation and reputation costs incurred during corporate social crises or environmental disasters (Gompers et al. 2003; Cremers and Nair 2005; Bauer et al. 2004; Derwall et al. 2004).
 
5
The calculation of this difference is based on the NASDAQ and EUROSTOXX 50 indexes. The choice of these indexes is due to the lack of difference with their sustainable counterparts. t tests for difference of means show a p value >0.10 (DJSI USA vs. NASDAQ: 0.589; DJSI Europe vs. EUROSTOXX 50: 0.910).
 
6
We use six value-weight portfolios formed based on size and prior (2–12) returns to construct MOM. The portfolios, which are formed daily, are the intersections of 2 portfolios formed based on size (market equity, ME) and 3 portfolios formed based on prior (2–12) return. The daily size breakpoint is the median NYSE market equity. The daily prior (2–12) return breakpoints are the 30th and 70th NYSE percentiles. The six portfolios used to construct MOM each day include NYSE, AMEX, and NASDAQ stocks with prior return data. To be included in a portfolio for day t (formed at the end of day t−1), a stock must have a price for the end of day t−251 and a good return for t−21. Additionally, any missing returns from t−250 to t−22 must be −99.0, CRSP's code for a missing price. Each included stock must also have ME for the end of day t−1.
 
7
The Eviews pack was used to estimate the risk parameters of the different models, while SPSS was used for the parametric and non-parametric tests of means.
 
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Metadata
Title
Evaluation of the Cultural Environment’s Impact on the Performance of the Socially Responsible Investment Funds
Authors
Francisco José López-Arceiz
Ana José Bellostas-Pérezgrueso
José Mariano Moneva
Publication date
07-05-2016
Publisher
Springer Netherlands
Published in
Journal of Business Ethics / Issue 1/2018
Print ISSN: 0167-4544
Electronic ISSN: 1573-0697
DOI
https://doi.org/10.1007/s10551-016-3189-4

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