TY - JOUR
T1 - Hidden Gem or Fool's Gold
T2 - European Financial Management Association Annual Meeting (EFMA 2022)
AU - Dumitrescu, Ariadna
AU - Järvinen, Jesse
AU - Zakriya, Mohammed
N1 - Funding Information:
Ariadna Dumitrescu acknowledges financial support from the Spanish Government, Ministry of Science and Innovation’s grant PID2021-123748NB-I00 , and Banc Sabadell.
Publisher Copyright:
© 2023 Elsevier Inc.
PY - 2023/3
Y1 - 2023/3
N2 - Using a unique and extensive dataset of 121 socially responsible investing (SRI) equity exchange-traded funds (ETFs) from January 2010 to December 2020, this study examines how passive SRI ETFs perform compared with their non-SRI benchmarks composed of S&P500 ETFs. Over the full sample period, our results show that an equally weighted SRI ETF portfolio underperforms its benchmark portfolio. Notably, we do not find significant differences in the two portfolios’ performance in the second half of our sample period. However, in the last two years, the SRI ETF portfolio significantly outperforms the benchmark. For the SRI investment strategies, we show that positive screening (or inclusion) rather than negative screening (or exclusion) can beat the benchmark portfolio. In particular, environmental inclusion screen provides significantly higher abnormal returns. Finally, we find that SRI ETFs’ performance can be explained by increasing industry competition and declining market concentration.
AB - Using a unique and extensive dataset of 121 socially responsible investing (SRI) equity exchange-traded funds (ETFs) from January 2010 to December 2020, this study examines how passive SRI ETFs perform compared with their non-SRI benchmarks composed of S&P500 ETFs. Over the full sample period, our results show that an equally weighted SRI ETF portfolio underperforms its benchmark portfolio. Notably, we do not find significant differences in the two portfolios’ performance in the second half of our sample period. However, in the last two years, the SRI ETF portfolio significantly outperforms the benchmark. For the SRI investment strategies, we show that positive screening (or inclusion) rather than negative screening (or exclusion) can beat the benchmark portfolio. In particular, environmental inclusion screen provides significantly higher abnormal returns. Finally, we find that SRI ETFs’ performance can be explained by increasing industry competition and declining market concentration.
KW - ESG
KW - ETFs
KW - SRI
KW - Socially responsible investments
KW - Sustainability
UR - http://www.scopus.com/inward/record.url?scp=85147117218&partnerID=8YFLogxK
U2 - 10.1016/j.irfa.2023.102540
DO - 10.1016/j.irfa.2023.102540
M3 - Article
AN - SCOPUS:85147117218
SN - 1057-5219
VL - 86
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
M1 - 102540
Y2 - 29 June 2022 through 2 July 2022
ER -