Abstract
Most previous American and European studies did not show any statistically difference in the performance of SRI (Socially Responsible Investment) funds and conventional funds, even though the investment universe of SRI funds are limited. It is difficult to say which one’s performance is better. However, SRI funds with its evalution based on the CSR (Corporate Social Responsibility) is thought to have a different behavioral pattern (investment style) than conventional funds.
In retrospect, we examine whether we could find any significant difference of investment style between SRI funds and conventional funds. For this purpose, we define the exposure of Fama-French Three Factor Model to funds as investment style. Then we anaylzed 12 month rolling exposure difference of Market factor, Size factor and book-value-to-price factor between SRI funds and conventional funds, both invested in domestic equities, in the same investment company. The result of anaylsis is that the investment sytle of SRI funds isn’t always different with conventional funds between investment companies.
