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Performance of Socially Responsible Investment: Evidence from Dutch Pension Funds

Takens, L.M. (2019) Performance of Socially Responsible Investment: Evidence from Dutch Pension Funds.

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Abstract:This paper investigates the influence of ESG integration on pension fund performance. The determinants of pension fund performance are discussed, which include ESG integration, the ratio of active to retired plan participants and the funds’ size. Using a dataset of the largest 45 Dutch pension funds over the period 2013-2018, different pension fund performance measures in relation to the ESG integration are investigated, including the funding ratio, the absolute performance (Return) and the relative performance (Jensen’s Alpha). It is found that there is only one significant relationship, which is the relationship between ESG integration and the funding ratio. The relationships found between ESG integration and the absolute performance (Return) and between ESG integration and the relative performance (Jensen’s Alpha) were found to be not significant. Therefore ESG integration can be considered as an element that is pressured by society to be more present without any real significant advantages of increased performance. The results of this research are in alignment with prior studies, which show nonnegative or positive relationships between fund performance and ESG integration.
Item Type:Essay (Bachelor)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:International Business Administration BSc (50952)
Keywords:Socially Responsible Investment (SRI), ESG integration, Financial performance, Absolute performance, Funding ratio, Jensen’s alpha, Dutch pension funds
Link to this item:http://purl.utwente.nl/essays/78518
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