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The Economics and Finance Letters

January 2016, Volume 3, 1, pp 1-7

The Investment Performance of Socially Responsible Investment in Japan

Chen Huan Shieh

Chen Huan Shieh 1

  1. Department of Accounting, Ming Chuan University Taipei, Taiwan 1

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on PubMed

Pages: 1-7

DOI: 10.18488/journal.29/2016.3.1/

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This paper examines the performance and risk sensitivities of Japanese ethical mutual funds vis-à-vis their conventional peers between 2005 and 2014, focusing upon the impact of the recent financial crisis. More specifically, in doing so, I investigate the aggregated performance and investment style of ethical and conventional mutual funds and allow for time variation in the funds’ systematic risk. The empirical results are consistent with the evidence of asymmetric performance before-and-after the structural change, which is identified by Bai and Perrons’ structural break test. The Japanese evidence supports the conjecture that any performance differential between ethical mutual funds and their conventional peers is statistically insignificant.

Contribution/ Originality


Financial crisis, Socially responsible investment, Structural break, Ethical mutual fund, CAPM, Carhart 4 factor model.



  1. Bai, J. and P. Perron, 1988. Estimating and testing linear models with multiple structural changes. Econometrica, 66(1): 47-78
  2. Carhart, M.M., 1997. On the persistence in mutual fund performance. Journal of Finance, 52(1): 57–82.
  3. Christopherson, J., W. Ferson and D. Glassman, 1998. Conditioning manager alphas on economic information: Another look at the persistence of performance. Review of Financial Studies, 11(1): 111-142.
  4. Fama, E. and K.R. French, 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1): 3–53.
  5. Ferson, W.E. and R.W. Schadt, 1996. Measuring fund strategy and performance in changing economic conditions. Journal of Finance, 51(2): 425-461.
  6. Sharpe, W.F., 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 9(3): 425-442.
  7. Sjostrom, E., 2011. Thw performance of socially responsible investment: A review of scholarly studies published 2008-2010. A Report by AP7.


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