Risk and Return of Ethical Funds: The Case of UN PRI

This thesis investigates whether ethical fund investments differ from fund investing without an ethical mandate, in terms of risk and return. We conduct an event study and calculate several fund properties, in order to detect how funds change when becoming ethical. In addition, we perform a cross-sectional analysis, to see whether the results depend on certain characteristics. Our sample consists of 48 global investing funds that are subject to the UN’s Principles of Responsible Investment. The period analyzed ranges from one year pre- to one year post- signing of the agreement. We find no abnormal returns, but there is a significant decrease in risk. This supports previous studies of best-in-class investment strategy, which have detected lower volatility. We also find that the results are highly dependent on the fund’s geographical origin and year of signing