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The Performance of Socially Responsible Investments: A Meta-Analysis

Author

Listed:
  • Lars Hornuf
  • Gül Yüksel
Abstract
In this article, we use a meta-analysis to examine the performance of socially responsible investing (SRI). After a thorough literature search, we review 153 empirical studies containing 1,047 observations of SRI performance. We find that, on average, SRI neither outperforms nor underperforms the market portfolio. However, in line with modern portfolio theory, we find that global SRI portfolios outperform regional sub-portfolios. Moreover, high-quality publications, publications in finance journals, and authors who publish more frequently on SRI are all less likely to report SRI outperformance. In particular, we find that including more factors in a capital market model reduces the likelihood that a study will find SRI outperformance. These findings have important implications for the policy evaluation of environmental, social, and governance goals in general, the asset management literature in particular, and the perspective of different scientific disciplines.

Suggested Citation

  • Lars Hornuf & Gül Yüksel, 2022. "The Performance of Socially Responsible Investments: A Meta-Analysis," CESifo Working Paper Series 9724, CESifo.
    • Handle: RePEc:ces:ceswps:_9724
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    3. Gabriele Torri & Rosella Giacometti & Darinka Dentcheva & Svetlozar T. Rachev & W. Brent Lindquist, 2023. "ESG-coherent risk measures for sustainable investing," Papers 2309.05866, arXiv.org.

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    More about this item

    Keywords

    environmental social governance; ESG; socially responsible investment; SRI; meta-analysis;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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