tailieunhanh - The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies

Finally, the requirements that a fund has to fulfill in order to be included in the SIF's listing of SRI funds are not stringent. For example, a fund could be on the list just by having a formal policy of excluding companies with interests in the tobacco business. If the constraints that SRI (as defined in our data set) imposes on fund managers are minor, the performance of SRI mutual funds should not be expected to be lower than that of conventional funds. It is important to highlight that the estimated performance differences between SRI and conventional funds cannot. | The Performance of Socially Responsible Mutual Funds The Role of Fees and Management Companies Javier Gil-Bazo1 Pablo Ruiz-Verdú1 André . Santos1 Abstract In this paper we shed light on the debate about the financial performance of socially responsible investment SRI mutual funds by separately analyzing the contributions of before-fee performance and fees to SRI funds performance and by investigating the role played by fund management companies in the determination of those variables. We apply the matching estimator methodology to obtain our results and find that in the period 1997-2005 US SRI funds had better before- and after-fee performance than conventional funds with similar characteristics. The differences however are driven exclusively by SRI funds run by management companies specialized in SRI. While these funds significantly outperform similar conventional funds funds run by companies not specialized in SRI underperform their matched conventional funds. We find no significant differences in fees between SRI and conventional funds except in one case SRI funds are cheaper than conventional funds run by the same management company. Keywords Socially responsible investment Mutual fund fees Mutual fund performance. JEL classification codes G12 G20 G23 A13. 1 Universidad Carlos III de Madrid Madrid Spain. The authors thank Sally Gunz the Section Editor and two anonymous reviewers for their comments which have led to substantial improvements in the paper. We are also grateful to Manuel Bagués Iraj Fooladi Vasiliki Skintzi and seminar participants at Universidad Carlos III de Madrid 2008 European Conference of the Financial Management Association 2008 European Financial Management Association Meeting and 2008 Spanish Finance Association Meeting for helpful comments and suggestions. The usual disclaimer applies. The financial support of Spain s Ministry of Education and Science SEJ2005-06655 SEJ2007-67448 and CSD2006-00016 and the Madrid Autonomous Region S2007

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