Hidden Gem or Fool's Gold: Can passive ESG ETFs outperform the benchmarks?

Ariadna Dumitrescu, Jesse Järvinen, Mohammed Zakriya

Producció científica: Article en revista indexadaArticleAvaluat per experts

3 Cites (Scopus)


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.

Idioma originalAnglès
Número d’article102540
Nombre de pàgines16
RevistaInternational Review of Financial Analysis
Estat de la publicacióPublicada - de març 2023
Publicat externament
EsdevenimentEuropean Financial Management Association Annual Meeting (EFMA 2022): Hidden gem or fool's gold: Can passive ESG ETFs outperform to the benchmarks? - Rome, Italy
Durada: 29 de juny 20222 de jul. 2022


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