Socially responsible investing

Union Jack
Dannebrog

Socially responsible investing

Show full item record

Title: Socially responsible investing
An assessment of the concept on the Danish market
Author: Norup, Adam; Gottlieb, Mads
Abstract: Socially Responsible Investing (SRI) has become a mainstream investment strategy on the major capital markets. Along with this development, the definition of SRI has evolved, and today the concept appears vague and more or less open to interpretation. This thesis investigates the Danish SRI market with the purpose of clarifying, whether the SRI funds are actually being more ethical than conventional funds. Based on the general view, that the constrained investment universe of the SRI funds lead to lower risk-adjusted returns, a performance analysis, in which these funds are being compared to their conventional peers, is conducted. By evaluating and attempting to explain the results, the problem statement of the thesis is sought answered. The analysis consists of 11 Danish SRI funds and 22 conventional funds, whose performance in the period 2001-2011 are compared. This is constructed by using the Cahart (1997) 4-factor model to perform multiple regressions, in order to obtain performance results. The results of the performance analysis results show a slight, but insignificant underperformance by the SRI funds of around 30-50 basis points. This small difference, combined with the statistically insignificance of the results, suggest that there is no signs of Danish SRI funds performing any different than their conventional peers. The second part of the analysis aims to explain the findings by examining three potential SRI performance drivers. First, indications are found, that old SRI funds perform slightly better than young SRI funds. Secondly, it is suggested that an increase in screening intensity has a negative effect on fund performance. Finally, no evidence of SRI stocks being more popular than conventional stocks, were observed. When holding the findings of these three analyses op against the reported performance results, suspicions arise, that the majority of Danish SRI funds are not being particularly more ethically concerned than their conventional peers. Overall, this study shows interesting trends on the Danish SRI market, which questions if a significant difference between SRI funds and conventional funds even exists. This casts doubts on, whether Danish ethical investors get what they are promised.
URI: http://hdl.handle.net/10417/2530
Date: 2011-10-18
Pages: 113 s.
Files Size Format View
adam_norup_og_mads_gottlieb.pdf 1.800Mb PDF View/Open
Appendix 1.1 - Article from Information 2007.docx 134.0Kb Microsoft Word 2007 View/Open
Appendix 1.2 - Article from Berlingske 2009.docx 120.2Kb Microsoft Word 2007 View/Open
Appendix 5.1 - ... I performance studies.xlsx 13.12Kb Microsoft Excel 2007 View/Open
Appendix 7.1 - ... criteria of SRI funds.xlsx 9.680Kb Microsoft Excel 2007 View/Open
Appendix 7.2 - ... tocks and conventiona.xlsx 20.03Kb Microsoft Excel 2007 View/Open
Appendix 8.10 - ... for Sparindex DJSI Wo.xlsm 556.1Kb Unknown View/Open
Appendix 8.11 - ... for Sparinvest Ethica.xlsm 289.6Kb Unknown View/Open
Appendix 8.12 - ... s-sectional regressio.xlsm 19.37Kb Unknown View/Open
Appendix 8.13 - ... culations and results.xlsm 1.793Mb Unknown View/Open
Appendix 8.14 - Fund age analysis.xlsm 1.920Mb Unknown View/Open
Appendix 8.15 - Screening intensity analysis.xlsm 2.037Mb Unknown View/Open
Appendix 8.1 - ... or BankInvest GE (Eth.xlsm 467.5Kb Unknown View/Open
Appendix 8.2 - ... or BankInvest SICAV G.xlsm 319.8Kb Unknown View/Open
Appendix 8.3 - ... or BankInvest SICAV G.xlsm 317.1Kb Unknown View/Open
Appendix 8.4 - ... or Carnegie Worldwide.xlsm 654.4Kb Unknown View/Open
Appendix 8.5 - ... or Danske Invest Euro.xlsm 610.0Kb Unknown View/Open
Appendix 8.6 - ... or Etik Invest Nordis.xlsm 600.6Kb Unknown View/Open
Appendix 8.7 - ... or Jyske Invest Globa.xlsm 207.1Kb Unknown View/Open
Appendix 8.8 - ... or Nordead Invest Eng.xlsm 239.3Kb Unknown View/Open
Appendix 8.9 - ... or Nykredit Invest Gl.xlsm 483.2Kb Unknown View/Open

The following license files are associated with this item:

This item appears in the following Collection(s)

Show full item record