Are green fund investors really socially responsible?

Hui-Min Chung*, Han-Hsing Lee, Pei Chun Tsai

*Corresponding author for this work

Research output: Contribution to journalReview articlepeer-review

10 Scopus citations


This paper investigates the performance, fund characteristics, fund flow of green fund and the impact of subprime mortgage crisis on fund flow volatility. In terms of fund performance, our results show that there is no consistently significant difference between performance of green funds and conventional funds. As for fund characteristics, green funds are more sensitive to market and size risks compared to conventional funds, while they are less sensitive to value and momentum factors than conventional funds. Consistent with prior literature, there exists an asymmetric phenomenon for green funds, that is, fund flows of green funds are significantly related to lagged positive return but not significantly associated with lagged negative returns in normal market conditions. During the subprime mortgage crisis, both mature green and mature conventional funds experienced fund outflows. However, volatility of green funds flows is much lower than their conventional counterparts. Our results suggest that green fund investors can derive utility from the social responsibility attribute, and they are really more socially responsible when making investment decisions.

Original languageEnglish
Article number1250023
JournalReview of Pacific Basin Financial Markets and Policies
Issue number4
StatePublished - 1 Dec 2012


  • fund flows
  • fund performance
  • Green funds
  • socially responsible investments
  • subprime mortgage crisis


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