Does the environment of the origin of a social responsible investment fund have an impact on its performance?

Abstract

The amount of asset invested in a socially responsible way is currently growing and is expected to keep growing in the future. Nevertheless, European countries are working differently in order to implement corporate social responsibly and sustainability in their policies. The scope of this work focusses on 12 European countries : Austria, Belgium, Finland, France, Germany, Italy, Netherlands, Norway, Spain, Sweden, Switzerland and the United Kingdom. In order to capture the differences that exist between those 12 countries, an index will be created taking into account elements that characterize the corporate social environment and social responsible investing market on a national basis. Therefore, based on that different levels of CSR and SRI implementation on a national basis, we will try to analyze if the environment of the origin of a corporate social responsible investment fund has an impact on its performance. In order to do that, a definition of the origin of an SRI fund will be settled taking into account 2 different elements : the fund management and more precisely, the place where the fund is domiciled and secondly, the place where the head office of the management company is established. Performance will be measured via the alpha and excess alpha generated by the fund manager.