IMPORTANCE OF THE FUND MANAGEMENT COMPANY IN THE PERFORMANCE OF SOCIALLY RESPONSIBLE MUTUAL FUNDS

被引：7

作者：

Belghitar, Yacine ^{[1
]}

Clark, Ephraim ^{[2
]}

Deshmukh, Nitin ^{[2
]}

机构：

[1] Cranfield Univ, Cranfield, Beds, England

[2] Middlesex Univ, London, England

来源：

JOURNAL OF FINANCIAL RESEARCH | 2017年 / 40卷 / 03期

关键词：

CONDITIONAL STOCHASTIC-DOMINANCE; CONSISTENT COVARIANCE-MATRIX; MANAGERIAL ABILITIES; RISK ASSETS; HETEROSKEDASTICITY; PREFERENCE; VALUATION; RETURNS;

D O I：

10.1111/jfir.12127

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We compare the performance of a sample of U.K.-based socially responsible investment (SRI) funds with similar conventional funds using a matched-pair analysis based on size, age, investment universe, and fund management company (FMC). We find that both the SRI and conventional funds outperform the market index about 50% of the time, even after fees. Subsample tests show that the SRI funds in our sample perform better in the pre- and postfinancial crisis periods but underperform during the financial crisis period. Importantly, we find that the FMC plays a major role in the outperformance of both SRI and conventional funds.

引用

页码：349 / 367

页数：19

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