This paper investigates the style and performance of US and European globalsocially responsible funds. Several specifications of the return generating process areapplied as well as their corresponding conditional versions.Most European global socially responsible funds do not show significantperformance differences in relation to both conventional benchmarks and sociallyresponsible benchmarks. US funds and Austrian funds show evidence ofunderperformance. By applying conditional models, we find evidence of time-varyingbetas, but not of time-varying alphas. With respect to investment style, we find evidencethat socially responsible funds are strongly exposed to small cap and growth stocks.While these results are consistent with previous studies, they uncover somemisclassification issues in these funds. Finally, we also document a significant homebias for global socially responsible funds.
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