Do socially responsible investment funds sell losses and ride gains? The disposition effect in SRI funds

Boumda, Beatrice (Universidad de Zaragoza) ; Duxbury, Darren ; Ortiz, Cristina (Universidad de Zaragoza) ; Vicente Gimeno, Luis Alfonso (Universidad de Zaragoza)

Resumen: An increasing percentage of the total net assets under professional management is devoted to ethical investments. Socially responsible investment (SRI) funds have a dual objective: building an investment strategy based on environmental, social, and corporate governance (ESG) screens and providing financial returns to investors. In the current study, we investigate whether this dual objective has an influence on the behavior of mutual fund managers in the realization of gains and losses. Evidence has shown that most investors in SRI funds invest in those funds primarily because of their social concerns. If the motivations of SRI managers align with those of SRI investors, SRI managers might then have more incentives than conventional managers to hold onto losing stocks if they feel their social value compensates for the economic loss. We hypothesize that SRI managers would be less prone to the disposition effect than conventional managers. Pertaining to the disposition effect, we do not find evidence of a difference in the behavior of SRI fund managers compared with that of conventional fund managers. Our results hold, even when considering market trends, management structure, gender, and prior performance.

Idioma: Inglés

DOI: 10.3390/su13158142

Año: 2021

Publicado en: Sustainability (Switzerland) 13, 15 (2021), 8142 [14 pp.]
ISSN: 2071-1050

Factor impacto JCR: 3.889 (2021)

Categ. JCR: ENVIRONMENTAL SCIENCES rank: 133 / 279 = 0.477 (2021) - Q2 - T2
Categ. JCR: ENVIRONMENTAL STUDIES rank: 57 / 128 = 0.445 (2021) - Q2 - T2
Categ. JCR: GREEN & SUSTAINABLE SCIENCE & TECHNOLOGY rank: 35 / 47 = 0.745 (2021) - Q3 - T3
Categ. JCR: GREEN & SUSTAINABLE SCIENCE & TECHNOLOGY rank: 7 / 9 = 0.778 (2021) - Q4 - T3

Factor impacto CITESCORE: 5.0 - Social Sciences (Q1) - Engineering (Q1) - Energy (Q2) - Environmental Science (Q1)

Factor impacto SCIMAGO: 0.664 - Energy Engineering and Power Technology (Q1) - Renewable Energy, Sustainability and the Environment (Q1) - Management, Monitoring, Policy and Law (Q1) - Geography, Planning and Development (Q1)

Financiación: info:eu-repo/grantAgreement/ES/DGA/S38-17R
Financiación: info:eu-repo/grantAgreement/ES/MCIU-AEI-FEDER/RTI2018-093483-B-I00

Tipo y forma: Article (Published version)

Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)