Can Socially Responsible Investments Be Compatible With Financial Performance?
This paper performs a meta-analysis on the impact of SRI upon investment performance based on 205 US samples. The result shows that weighted average effect size is not significantly different from zero, suggesting that investment performance of SRI is not different from conventional investments. Meta-regression results show that, regarding sampling issues, studies published, written by scholars, with domestic investment universe, and with positive screening have higher effect sizes, while studies written by influential authors, comparing with market index, and examining mutual fund samples show lower effect sizes. As for methodology, studies with conditional benchmark and dividend inclusion have larger effect sizes.
Keywords- Effect size, meta-analysis, meta-regression, random effect model, socially responsible investment