Bauer, Koedijk, and Otten (2002)

Bauer, Rob, Kees Koedijk, and Roger Otten. "International Evidence on Ethical Mutual Fund Performance and Investment Style." Working Paper, January 2002.

Uses multi-factor attribution models to examine the performance of 103 German, UK, and US screened mutual funds for the 1990-2001 time period. After adjusting for investment style, finds no difference in risk-adjusted performance (Jensen's alpha) between screened and unscreened funds. However, the authors note a "learning effect" where older screened funds appear to outperform younger ones [an asset size variable would have been informative here]. Also finds that screened social indexes "are less powerful in explaining fund performance compared to standard, non-ethical indexes." 

LK comment:  This study won the 2002 Moskowitz Prize.

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