Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/19674
Título: | Socially responsible investing in the global market : the performance of US and European funds |
Autor(es): | Cortez, Maria do Céu Silva, Florinda Areal, Nelson |
Palavras-chave: | Fund performance evaluation Socially responsible mutual funds Global funds Factor models Conditional models |
Data: | 2012 |
Editora: | Wiley |
Revista: | International Journal of Finance and Economics |
Resumo(s): | This paper investigates the style and performance of US and European global socially responsible funds. Several specifications of the return generating process are applied as well as their corresponding conditional versions. Most European global socially responsible funds do not show significant performance differences in relation to both conventional benchmarks and socially responsible benchmarks. US funds and Austrian funds show evidence of underperformance. By applying conditional models, we find evidence of time-varying betas, but not of time-varying alphas. With respect to investment style, we find evidence that socially responsible funds are strongly exposed to small cap and growth stocks. While these results are consistent with previous studies, they uncover some misclassification issues in these funds. Finally, we also document a significant home bias for global socially responsible funds. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/19674 |
DOI: | 10.1002/ijfe.454 |
ISSN: | 1099-1158 |
Versão da editora: | http://onlinelibrary.wiley.com/ |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Areal_Cortez_Silva_19Mar2010.pdf | Documento principal | 192,47 kB | Adobe PDF | Ver/Abrir |