In order to evaluate the performance of socially responsible investment (SRI) funds, we propose some models which use data envelopment analysis (DEA) and can be computed in all phases of the business cycle. These models focus on the most crucial elements of an investment in mutual funds. In the literature both constant and variable returns to scale DEA models have been used to evaluate the performance of mutual funds. We carry out an empirical investigation on European SRI equity funds to test the presence of returns to scale (RTS). Another aspect taken into account by the empirical investigation is the measurement of the degree of social responsibility of SRI equity funds in various European countries. In addition, we analyse the performance of the funds considered with the different DEA models proposed, which differ in the way the ethical objective is taken into account. Moreover, the paper focuses on another crucial issue regarding socially responsible investing: the comparison of the performances between SRI and non SRI funds. The empirical study suggests that the ethical objective can be pursued without having to renounce financial rewards.

Constant and variable returns to scale DEA models for socially responsible investment funds

BASSO, Antonella;FUNARI, Stefania
2014-01-01

Abstract

In order to evaluate the performance of socially responsible investment (SRI) funds, we propose some models which use data envelopment analysis (DEA) and can be computed in all phases of the business cycle. These models focus on the most crucial elements of an investment in mutual funds. In the literature both constant and variable returns to scale DEA models have been used to evaluate the performance of mutual funds. We carry out an empirical investigation on European SRI equity funds to test the presence of returns to scale (RTS). Another aspect taken into account by the empirical investigation is the measurement of the degree of social responsibility of SRI equity funds in various European countries. In addition, we analyse the performance of the funds considered with the different DEA models proposed, which differ in the way the ethical objective is taken into account. Moreover, the paper focuses on another crucial issue regarding socially responsible investing: the comparison of the performances between SRI and non SRI funds. The empirical study suggests that the ethical objective can be pursued without having to renounce financial rewards.
File in questo prodotto:
File Dimensione Formato  
EJOR_2014_Constant and variable returns to scale DEA models.pdf

non disponibili

Tipologia: Documento in Post-print
Licenza: Accesso chiuso-personale
Dimensione 688.24 kB
Formato Adobe PDF
688.24 kB Adobe PDF   Visualizza/Apri

I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/39213
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 50
  • ???jsp.display-item.citation.isi??? 47
social impact