This paper compares the cross-sectional performance (total returns, risk-adjusted returns, and risk exposures) of socially responsible (SRI) and conventional (non-SRI) mutual funds. The paper establishes that there exists economically and statistically significant and persistent.
This paper compares the cross-sectional performance (total returns, risk-adjusted returns, and risk exposures) of socially responsible (SRI) and conventional (non-SRI) mutual funds. The paper establishes that there exists economically and statistically significant and persistent differences in the cross-sectional performance between the SRI and non-SRI funds when comparisons are made at the quantiles of the return distribution away from the median.
