The behavior of socially responsible investments (SRI) as financial assets using a returns-based style analysis methodology is examined. Conflicting views exist on the risks of SRIs in terms of their exposure to asset classes and industry sectors. Empirical evidence is provided from a sample of Australian SRI managed funds. The SRI funds have larger exposures to the "sensitive" industry category, suggesting SRI funds' positive screens tend to include such stocks. These over-exposures seemed to a certain extent to be compensated for by slightly smaller exposures to the "unacceptable" industry category in the case of the general SRI funds, suggesting these funds' negative screens tend to exclude such stocks. The sample SRI funds do not have strong consistent patterns in terms of style. They do not appear to represent a homogenous category of investments and do not belong in an investment class of their own.
|Journal||Australian Accounting Review|
|Publication status||Published - 2004|