Expanding on the debate around the performance of SRI Funds

  1. MARTINEZ MEYERS, SUSANA
unter der Leitung von:
  1. María Jesús Muñoz Torres Doktorvater/Doktormutter
  2. Idoya Ferrero Ferrero Co-Doktorvater/Doktormutter

Universität der Verteidigung: Universitat Jaume I

Fecha de defensa: 30 von November von 2022

Gericht:
  1. María del Mar Arenas Parra Präsidentin
  2. Elena Escrig Olmedo Sekretär/in
  3. Igor Álvarez Echeverría Vocal

Art: Dissertation

Teseo: 766473 DIALNET

Zusammenfassung

With the growth of SRI funds concerns on doubts about their relative performance have increased. In our systematic literature review, we conclude that the vast majority (67%) of the empirical studies show no difference in the relative financial performance of SRI funds vs their conventional counterparts. From there we move the debate to perform a comparative analysis between the ESG scores of SRI funds and Conventional Funds of the same Mutual Fund. The results show that being a “self-declared” SRI Fund is a significant variable that affects positively the fund's ESG performance score. Finally, we wish to test the effect of the SFDR regulation on self-labeled SRI funds vs Conventional Funds of the same Mutual Fund Company. The results find evidence and reveal a clear reduction of ESG risk after SFDR for all the samples and observe a positive spill-over effect on conventional funds after the entry of the regulation.