International evidence on ethical mutual fund performance and investment style |
| |
| Affiliation: | 1. Graduate School of Economics, Kobe University, 2-1Rokkodai, Nada-ku, Kobe, Hyogo 657-8501, Japan;2. Presidential Endowed Chair for “Platinum Society”, The University of Tokyo, Ito International Research Center, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-0033, Japan;3. Graduate School of Humanities and Social Sciences, Okayama University, 3-1-1 Tsushima-naka, Kita-ku, Okayama 700-8530, Japan;1. KEGDE Business School. Rue Antoine Bourdelle Domaine de Luminy BP921 13288 Marseille Cedex 9 , Marseille , France;2. KEDGE Business School and LEST (UMR CNRS 7317), Marseille, Francen |
| |
| Abstract: | Using an international database containing 103 German, UK and US ethical mutual funds we review and extend previous research on ethical mutual fund performance. By applying a Carhart multi-factor model [Carhart, Journal of Finance 57 (1997) 57] we overcome the benchmark problem most prior ethical studies suffered from. After controlling for investment style, we find no evidence of significant differences in risk-adjusted returns between ethical and conventional funds for the 1990–2001 period. Our results also suggest that ethical mutual funds underwent a catching up phase, before delivering financial returns similar to those of conventional mutual funds. Finally, our performance estimates are robust to the inclusion of ethical indexes, which, surprisingly, are not incrementally capable of explaining ethical mutual fund return variation. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
