The Investment Performance of Socially Responsible Investment Funds in Australia

Interest in the notion of the possible financial sacrifice suffered by socially responsible investment (SRI) fund investors for considering ethical, social and environmental issues in their investment decisions has spawned considerable academic interest in the performance of SRI funds. Both the Australian and international research literature have yielded largely mixed results. However, several of these studies are hampered by methodological problems which can obscure the significance of reported results, such as the use of small sample sizes, inconsistencies in the time frames selected to analyse performance and different modelling frameworks used to estimate investment returns. This study attempts to redress some of these issues by investigating the returns performance of 89 ethical funds in Australia over the period 1986–2005. Using a multi-factor CAPM model [Fama, E. F., and K. R. French (1996) J. Finance 51(1), 55] (which controls for factors such as size, book-to-market value and momentum) we find that ethical funds significantly under-perform the market in Australia, particularly in the most recent 5 years of our sample period (2000–2005). Risk adjusted returns (using Jensen’s alpha) indicate that average annual underperformance is around 1.52% in the 2000–2005 period for our sample and .88% over the whole sample period. Our results contrast with many previous studies (both Australian and international), which have not found statistically significant differences in the performance of ethical funds relative to market benchmarks and/or a matched sample of conventional funds. Stewart Jones is a Professor of Accounting with the University of Sydney, appointed in 2001. His research interests embrace credit risk modelling, capital markets research, standard setting and accounting theory. Sandra van der Laan is a lecturer in the Discipline of Accounting at the University of Sydney. Her research focuses on accounting as a social discourse and accounting as a mechanism to discharge a broad range of corporate accountabilities. Geoff Frost is an Associate Professor of Accounting at the University of Sydney. His research interests include corporate social responsibility and ethical investment. Janice Loftus is a senior lecturer in accounting at the University of Sydney. Her current research interests include financial accounting and corporate social responsibility reporting.     

An examination of foreign exchange risk under fixed and floating rate regimes

This paper examines variability risk in foreign exchange markets during fixed and floating rate regimes. It is demonstrated that variance is an inadequate measure of variability, both theoretically and empirically. Although the normal model is commonly employed in foreign exchange research, the paper shows that spot and forward rate changes can be better described as if they were generated from nonnormal members of the Pareto-Levy class of probability distributions. Further, the paper discusses what statistical measures of variability are most appropriate. Several measures are developed to assess the characteristics of spot and forward rate changes during the period 1962–1975. It is found that floating rates are generally many times riskier, in the variability sense, than fixed rates.     

Incentives to underprice

In an initial public offering, the choices made by issuers, such as the offer price, might not appear to be wealth maximizing. In this article, we argue that the choices are strategic. Based on the model developed by Barry (1989), we show that the average change in the issuer's wealth (4.52 per cent) is lower than the average loss implied by underpricing (12.09 per cent). Our results support the notion that the choices issuers make at the offering generate a compensatory benefit in the aftermarket. That the issuer may well not suffer a net wealth loss from the offering is in accordance with continued initial public offering activity.     

The perceived influence of travel experiences on learning generic skills

Empirical work exploring the role of travel in assisting the learning of skills is of interest to travellers, educators and employers. Pearce and Foster’s generic skills attributes list was used as a basis to investigate the amount and nature of perceived learning by North American University students. It was established through survey research and tested with ANOVA comparisons that travel experiences were perceived as assisting the learning of generic skills, especially amongst those who had travelled internationally four or more times. Key skills seen as influenced by travel included independence, being open-minded and feeling comfortable around all kinds of people. There was a moderate increase in communication skills. The findings showed close links with previous studies of youth budget travellers. Employers and educators can consider travel to be a learning opportunity affecting the acquisition of key business and generic skills.