A Meta-Analysis of the Literature Performed Comparative Analysis of Socially Responsible Mutual Funds to their Conventional Peers

Authors

  • Rachna Jawa , Kishwar Zamani , Anuj Goyal

Abstract

An enormous body of literature has emerged during the past few decades regarding
the performance analysis of SRIs. This study reviews the seminal works which do a
comparative analysis of the financial performance of SRMFs with their conventional
counterpart. The paper examines 35 studies with 864 observations over the sample period
from 1981 to 2018. The vote-count analysis shows that 71 percent of observations indicate no
significant difference between the performance of SRMFs and conventional peers. Overall,
the existing literature exhibits contradictory results. The authors find that 20 characteristics in
the literature might be the reason for this contradiction. Thus, the objective of the study is to
examine how the characteristics of selected primary studies influence the likelihood of a
significant underperformance or outperformance of SRMFs while compared with
conventional peers by employing logistic regressions. Findings suggest that considerations of
survivorship bias substantially increase (decrease) the likelihood of out- or
underperformance. The latest sample period and depressed market situation increase the
probability of outperformance. However, the situation of market turmoil also decreases the
possibility of underperformance. Those experiments which only include US-based SRMFs
more likely outperform their conventional counterpart.

Published

2020-12-01

Issue

Section

Articles