Seminar: The Impact of non-SRI Shorting Constraints

• Master Thesis Seminar
• Abstract:

  The topics of SRI (Socially Responsible Investments) keeps gaining space in media, but to our knowledge, there are no studies available today discussing the impact a relaxation of the short selling constraints on non-SRI stocks in SRI hedge funds has. This paper strives to answer this question while trying to quantify the difference in performance between a SRI hedge fund and its conventional counterparty. In order to answer these questions, a four factor linear regression model and a bootstrapping process were used. When looking at a ten year period one would have been better off not shorting non-SRI stocks, however, for a two year period, there are no significant differences in the financial performance. In addition to this, when comparing the Sortino ratios and the Sharpe ratios for the SRI hedge funds and their conventional peers, the SRI hedge funds outperform the conventional funds in 50% of the cases. This research concludes that it is not possible to gain any extra return by relaxing the short selling constraint on non-SRI stock in SRI hedge funds, but over the last ten years, the SRI stocks has significantly outperformed the non-SRI stocks. However, there is no significant difference in performance over the past two years.

• Date: Monday, 15th February 2010
• Time: 13:15 to 15:00
• Room: MH:227
• Speaker: Louise Granath, Ebba Schmiterlöw,