Using a unique and extensive dataset of 121 socially responsible investing (SRI) equity exchange-traded funds (ETFs) from January 2010 to December 2020, this study examines how passive SRI ETFs perform compared with their non-SRI benchmarks composed of S&P500 ETFs. Over the full sample period, our results show that an equally weighted SRI ETF portfolio underperforms its benchmark portfolio. Notably, we do not find significant differences in the two portfolios’ performance in the second half of our sample period. However, in the last two years, the SRI ETF portfolio significantly outperforms the benchmark. For the SRI investment strategies, we show that positive screening (or inclusion) rather than negative screening (or exclusion) can beat the benchmark portfolio. In particular, environmental inclusion screen provides significantly higher abnormal returns. Finally, we find that SRI ETFs’ performance can be explained by increasing industry competition and declining market concentration.

本研究使用 2010 年 1 月至 2020 年 12 月 121 只社会责任投资 (SRI) 股票交易所交易基金 (ETF) 的独特而广泛的数据集，检验被动 SRI ETF 与其由 S&P500 ETF 组成的非 SRI 基准相比的表现。在整个样本期间，我们的结果表明，同等权重的 SRI ETF 投资组合的表现低于其基准投资组合。值得注意的是，我们没有发现样本期后半段两个投资组合的表现存在显着差异。然而，在过去两年中，SRI ETF 投资组合的表现明显优于基准。对于 SRI 投资策略，我们表明正面筛选（或包含）而不是负面筛选（或排除）可以击败基准投资组合。尤其，环境包容性筛选提供了显着更高的异常回报。最后，我们发现 SRI ETF 的表现可以用行业竞争加剧和市场集中度下降来解释。