Efecto del cribado social sobre la eficiencia de los fondos: evidencia empírica de los fondos de renta variable europeos

ABSTRACT: The aim of this study is to evaluate the financial performance of European socially responsible investment (SRI) funds for the period 1993–2012 to contrast whether there is a relationship between the application of social screening on investment decisions and funds’ financial performance measured by Carhart’s alpha. Regression analysis has been used to test the hypotheses of this research with a sample free of survivorship bias of 184 SRI equity funds from 14 European countries and the population of conventional funds from the same country and investment objective. The main conclusion of this study is that the application of social criteria in investment decisions carries a cost to the investor in terms of lower financial performance caused by differences in screening intensity.RESUMEN: El objetivo de este trabajo es evaluar la eficiencia financiera de los fondos socialmente responsables europeos durante el periodo 1993–2012 a fin de contrastar si existe una relación entre la aplicación del cribado social en las decisiones de inversión y la eficiencia financiera del fondo medida con el alfa de Carhart. El análisis de regresión ha sido empleado para contrastar las hipótesis de esta investigación con una muestra libre de sesgo de supervivencia de 184 fondos sociales de renta variable de 14 países europeos y la población de fondos convencionales del mismo país y objetivo de inversión. La principal conclusión de este estudio es que la aplicación de criterios sociales en las decisiones de inversión conlleva un coste para el inversor en términos de una menor eficiencia financiera causada por diferencias en la intensidad del cribado social

Measuring Investors’ Socially Responsible Preferences in Mutual Funds

socially responsible investment, experimental method, information, investor behavior, mutual funds, G23, C91, M14,

DEA performance assessment of mutual funds

The objectives of this paper are manyfold. First we present a comprehensive review of the literature of DEA models for the performance assessment of mutual funds. Then we discuss the problem of the presence of negative returns in DEA modeling for mutual funds and we identify a DEA model that is financially justified and tackles the issue of negative returns in a natural way. Moreover, we present an empirical application on real market data, considering different risk measures.\ud We consider also different holding periods, which include both a period of financial crisis and one of financial recovery. Moreover, we compare the results of the DEA performance measure with those obtained with traditional financial indicators