期刊
JOURNAL OF BUSINESS ETHICS
卷 122, 期 3, 页码 375-386出版社
SPRINGER
DOI: 10.1007/s10551-013-1741-z
关键词
Socially responsible investing; Ethical investing; Mutual funds
Prior literature on socially responsible investment has contended that excluding sin stocks from a portfolio (negative screening) will reduce performance and increase risk. Further, incorporating stocks of firms with positive social responsibility scores (positive screening) will improve performance and reduce risk. We simulate portfolios designed to mimic typical equity mutual funds' holdings and investigate these propositions. We remove the potentially confounding influences of differences in manager skill, transaction costs and fees, and conduct a clean experiment on the effect of positive and negative portfolio screening. We find no difference in the return or risk of screened and unscreened portfolios. We conclude that a typical socially responsible fund will neither gain nor lose from screening its portfolio.
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