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Financial performance of green mutual funds in the US - Does environmental screening affect returns?
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School of Business |
Bachelor's thesis
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en
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20
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This thesis studies the financial performance of environmental mutual funds relative to their socially responsible investing (SRI) and conventional peers. My analysis stems from CAPM-based methodology, and I apply the Carhart (1995) multi-factor model to examine the expected returns. My empirical results show, that environmental screening of stocks doesn’t have negative effect on risk-adjusted returns, and the performance of green mutual funds has been consistent with their conventional peers. On a more recent period, green mutual funds are even outperforming SRI mutual funds.