This study analyses whether stock indices that represent socially responsible investments (SRI) exhibit a different performance compared to conventional benchmark indices. In contrast to other studies, the analysis concentrates on SRI indices and not on investment funds. This has several advantages, since transaction costs of funds, the timing activities and the skill of the fund management do not have to be considered. This leads to a direct measure of the performance effects of SRI screens. The 29 SRI stock indices are analysed by single-equation models as well as by multi-equation systems that exploit the information in the cross-section. SRI stock indices do not exhibit a different risk-adjusted return than conventional benchmarks. But many SRI indexes have a higher risk relative to the benchmarks. The findings are robust to the use of different benchmark indices and apply to all common types of SRI screening.

Schröder, Michael (2007), Is there a difference? The performance characteristics of SRI equity indices, Journal of Business Finance and Accounting 34 (1) & (2), 331-348.


Socially responsible investing, equity indices, performance, risk