Green and Good? The Investment Performance of US Environmental Mutual Funds

By Francisco José Climent Diranzo, Pilar Soriano. 2011

273 citations recorded by the source corpus.

Increased concern for the environment has increased the number of investment opportunities in mutual funds specialized in promoting responsible environmental attitudes. This article examines the performance and risk sensitivities of US green mutual funds vis-à-vis their conventional peers. We also analyze and compare this performance relative to other socially responsible investing (SRI) mutual funds. In order to implement this analysis, we apply a CAPM-based methodology and find that in the 1987–2009 period, environ- mental funds had lower performance than conventional funds with similar characteristics. However, if we focus on a more recent period (2001–2009), green funds achieved adjusted returns not significantly different from the rest of SRI and conventional mutual funds.

Subfields: Economics and Econometrics, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/a6a08f872a399af7a8be77bf14ad66774d474c8e

How researchers see this paper

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In Economics and Econometrics

1. María Vargas
2. Fernando Muñoz
3. Isabel Marco
4. Li Cai
5. Chaohua He
6. L. Pham
7. Xiaoguang Zhou
8. Yadi Cui

In Finance

1. María Vargas
2. Fernando Muñoz
3. Isabel Marco
4. Li Cai
5. Chaohua He
6. L. Pham

In Strategy and Management

1. María Vargas
2. Fernando Muñoz
3. Isabel Marco
4. Li Cai
5. Chaohua He
6. L. Pham

Citations in the corpus

• Is it risky to go green? A volatility analysis of the green bond market (2016, background): “Climent and Soriano (2011) and Chang, Nelson, and Witte (2012) study the performance of green mutual funds and find that green mutual funds have underperformed on a risk-adjusted basis compared to conventional funds.”
• Environmental Mutual Funds: Financial Performance and Managerial Abilities (2014, methodology): “The procedure followed is similar to those used by Varma and Nofsinger (2012) and Climent and Soriano (2011). First, for each green fund, we select the conventional funds with the same investment objective according to Morningstar.”
• European Green Mutual Fund Performance: A Comparative Analysis with their Conventional and Black Peers (2015, unknown): “Specifically, the environmental dimension of mutual funds, which is of particular interest to this study, has only been picked up by White (1995), Climent and Soriano (2011) and Ito et al.”
• Corporate Environmental Responsibility and Equity Prices (2013, background): “…companies’ underperformance or the opportunity cost of picking stocks from a restricted universe, environmentally responsible mutual funds are also found to perform poorly (Climent and Soriano 2011), so do other socially responsible mutual funds (Geczy et al. 2005; Renneboog et al. 2008).”
• Examining the Coordination Between Green Finance and Green Economy Aiming for Sustainable Development: A Case Study of China (2020, unknown): “For GF instruments, Climent and Soriano (2011) [13] investigated and compared the performance between US green mutual funds and other socially responsible investing mutual funds by using a CAPM-based methodology, concluding that green mutual funds had poorer performance than other conventional…”