The price of ethics and stakeholder governance: The performance of socially responsible mutual funds

摘要: Abstract Do investors pay a price for investing in socially responsible investments (SRI) funds, or do they obtain superior returns? This paper investigates these under- and overperformance hypotheses all SRI funds across the world. Consistent with paying ethics, US, UK, many continental European Asia-Pacific countries underperform their domestic benchmarks by − 2.2% to − 6.5%. However, exception of some such as France, Japan Sweden, risk-adjusted returns are not statistically different from performance conventional funds. We also find that underperformance is driven loadings on an ethics style factor. There mixed evidence smart money effect: unable identify will outperform future, whereas show fund-selection ability identifying perform poorly. Finally, corporate governance social screens yield lower returns.