社會責任基金不同投資準則對其績效影響之研究

Abstract

A new phenomenon in the fund world has evolved that is not solely explicable with the investor’s quest for high returns. Investors have started to look not only at the financial performance of their investments, but also at the social implications. The term “socially responsible investment (SRI)” was coined to describe the phenomenon. Instead of looking only at the plain returns, SRI investors care about what they own. They avoid investments in companies, which are engaged in business fields or activities that seem unethical to the investors. Alcohol, Gambling and Weapon manufacturing are typical examples. Mutual funds have adapted to the investors’ demand and offer SRI funds. They apply screening strategies to either avoid unethical investments or especially support role model companies. The question is whether this kind of selection has an impact on the funds’ financial performance. We use a regression analysis to examine the risk-adjusted performance of SRI mutual funds and try to isolate single SRI screens, which have a significant positive or negative influence on the fund returns. Our results suggest that employing an “animal testing” screen, which eliminates most of the pharmaceutical and cosmetics companies from the portfolio, indeed hurts the financial performance of a fund. We furthermore detect a tendency that screening for “human rights” increases returns, while screening for “equal employment opportunity” decreases returns. However, these two results are not very robust and need to be considered with care. Eventually, the conclusion is that only a few screens possibly do have a significant impact on the funds’ financial performance, but the majority of screens does not. In most cases we can’t find any evidence for a certain screen to have an unambiguous impact.