Does socially responsible mutual fund performance vary over the business cycle? New insights on the effect of idiosyncratic SR features
Impacto
Scholar |
Otros documentos de la autoría: Matallín Sáez, Juan Carlos; Soler-Dominguez, Amparo; de Mingo-López, Diego Víctor; Tortosa-Ausina, Emili
Metadatos
Mostrar el registro completo del ítemcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
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https://doi.org/10.1111/beer.12196 |
Metadatos
Título
Does socially responsible mutual fund performance vary over the business cycle? New insights on the effect of idiosyncratic SR featuresAutoría
Fecha de publicación
2018-09-26Editor
WileyISSN
0962-8770; 1467-8608Cita bibliográfica
MATALLÍN‐SÁEZ, Juan Carlos, et al. Does socially responsible mutual fund performance vary over the business cycle? New insights on the effect of idiosyncratic SR features. Business Ethics: A European Review. 2018Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://onlinelibrary.wiley.com/doi/full/10.1111/beer.12196Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
This study analyses the performance and market timing of US socially responsible (SR) mutual funds in relation to business cycle regime shifts and different grouping criteria: Ethical strategy focus, SR attributes ... [+]
This study analyses the performance and market timing of US socially responsible (SR) mutual funds in relation to business cycle regime shifts and different grouping criteria: Ethical strategy focus, SR attributes scores and Morningstar category. Different methodologies are applied and results highlight the importance of considering specific benchmarks related to the investment style in evaluating the SR fund performance. Our results show that, in aggregate, the abnormal performance of SR funds is negative and significant in expansion periods, but no significant differences are found in recession periods. When specific benchmarks are considered, performance improves in recession periods, particularly for environmental funds, those with high SR attributes scores, and funds from the nine Morningstar style box categories. Market timing of SR funds takes positive values and is partially significant. Previous evidence of negative timing after a recent financial crisis vanishes when specific benchmarks are considered. For comparative purposes the performance of conventional US mutual funds is also analysed. There are no significant differences between the performance of SR and conventional mutual funds when a fair comparison is made within the same style categories. When all the SR funds are considered, they underperform conventional funds in expansion sub‐periods, but in recession sub‐periods they perform better, although the differences observed are not significant. [-]
Publicado en
Business Ethics: A European Review. 2018Proyecto de investigación
Universitat Jaume I, Grant/Award Number: UJI‐B2017‐14, E‐2014‐10 and Predoc‐2014‐04; Spanish Ministerio de Economía y Competitividad, Grant/Award Number: ECO2014‐55221‐P, ECO2017‐85746-P, 2014, 046, 2014 and 283; Generalitat ValencianaDerechos de acceso
Copyright © John Wiley & Sons
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info:eu-repo/semantics/restrictedAccess
http://rightsstatements.org/vocab/InC/1.0/
info:eu-repo/semantics/restrictedAccess
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