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• W2109761291 abstract "1* Built on previous literature, this study first used the Sharpe Ratio and then extended multifactor CAPM-based model and Jensen's alpha to examine whether the Socially Responsible Investment (SRI) funds in China underperform the broad market benchmark index in China. Totally four SRI funds in China were found and observed in the paper. Jensen's alpha is used to measure a SRI fund's performance after accounting for the risk it involved; the lagged terms of two public information variables, risk-free rate and corresponding dividend yield, were incorporated in the extended CAPM-based model. The potential non-stationary, serial autocorrelation, and heteroskedasticity issues that are typically reported in financial data were tested and considered and corresponding appropriate models were estimated through either a Generalized Linear Model or a time series ARIMA model. We found different results when using the extended multifactor CAPM-based modeling versus using the static Sharpe Ratio measure that can be manipulated. The multifactor cautiously specified dynamic CAPM-based modeling generated more comprehensive and robust results. Based on the modeling, we find that two largest and most industry-diversified SRI funds in China have statistically significant positive alphas and outperform the broad market index (CSI300 Index) in China. Those two outperforming SRI funds also both share concentration and outweigh the market in Pharmaceutical and Biology and Food and Beverage. The two non-outperforming SRI funds both have a particularly high concentration in one industry and both are managed by the same company. The identified underperforming fund has a particularly high industry specialization in Finance and Insurance. It is speculated that the industry diversification and the scale of a SRI fund could be related to a SRI fund performance. More information on screening and fund details would be helpful for further study." @default.
• W2109761291 created "2016-06-24" @default.
• W2109761291 creator A5044624333 @default.
• W2109761291 date "2014-01-20" @default.
• W2109761291 modified "2023-09-26" @default.
• W2109761291 title "DO SOCIALLY RESPONSIBLE INVESTMENT FUNDS UNDER-PERFORM THE MARKET? EVIDENCE FROM CHINA" @default.
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• W2109761291 hasPublicationYear "2014" @default.
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