12 documents found, page 1 of 2
The performance of socially responsible equity mutual funds: evidence from Sweden
Leite, Carlos; Cortez, Maria do Céu; Silva, Florinda; Adcock, Chris"First published: 30 October 2017"; This paper presents a comprehensive analysis of socially responsible (SR) funds in Sweden by assessing fund managers’ abilities and performances across different market states. These issues are analyzed at the aggregate and individual fund levels. The paper also presents several new statistical tests that allow more precise inferences about differences in performance and the ...
The conditional performance of Euro bond funds: evidence from Portugal during t...
Leite, Paulo; Cortez, Maria do CéuThis paper evaluates the performance of a survivorship bias-free data set of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnitude. This underperformance cannot be explained by the expenses t...
Venture capital and the financial crisis in Portugal: the VC managers’ viewpoint
Cardoso, Carlos José Cabral; Cortez, Maria do Céu; Lopes, LuísaPurpose – The purpose of this paper is to examine, from the venture capital (VC) managers’ perspective, the impact of the international financial and sovereign debt crises on the VC industry in Portugal,andthechangesandadjustments VCmanagers wereforcedtoadopttotheirproceduresand current practices to cope with these challenges. Design/methodology/approach – A two-step research design was adopted to best capture ...
The performance of US and European green funds in different market conditions
Silva, Florinda; Cortez, Maria do Céu"Available online 23 June 2016"; This paper evaluates the performance of US and European green funds that invest globally by using conditional models that consider both time-varying performance and risk measures. The results show that green funds tend to underperform the benchmark, particularly European funds. Fund underperformance is mainly concentrated in times when short-term interest rates are lower-than-no...
Performance of european socially responsible funds during market crises: eviden...
Leite, Paulo; Cortez, Maria do CéuThis paper investigates the performance, investment styles and managerial abilities of French socially responsible investment (SRI) funds investing in Europe during crisis and non-crisis periods. Our results show that SRI funds significantly underperform characteristics matched conventional funds during non-crisis periods, but match the performance of their peers during market downturns. The underperformance of...
Selectivity and timing abilities of international socially responsible funds
Leite, Paulo; Cortez, Maria do CéuThis article analyses the selectivity and market timing abilities of international Socially Responsible Investment (SRI) funds, from eight European markets, in comparison to conventional funds with similar characteristics. The results show that differences in market timing abilities of international SRI funds and their conventional peers are not statistically significant. However, SRI funds investing in Europea...
The determinants of international equity investment : do they differ between in...
Roque, Vanda; Cortez, Maria do CéuIn this paper we investigate whether the determinants of international equity investment differ between investors with different degrees of sophistication. For this purpose, we analyse and compare the determinants of international equity investment of institutional and noninstitutional investors from 20 OECD countries (US not included) in the period 2001-2009. The results show that there are significant differe...
Style and performance of international socially responsible funds in Europe
Leite, Paulo; Cortez, Maria do CéuThis paper analyses the performance and investment styles of internationally oriented Socially Responsible Investment (SRI)funds, domiciled in eight European markets, in comparison with characteristics-matched conventional funds. To the best of our knowledge, this is the first multi-country study, focused on inter-national SRI funds (investing in Global and in European equities), to combine the matched-pairs ap...
The conditional performance of US mutual funds over different market regimes : ...
Areal, Nelson; Cortez, Maria do Céu; Silva, FlorindaWe investigate the performance of US mutual funds that employ different ethical criteria: religious, socially responsible, and irresponsible. Performance is evaluated over different market regimes using a Markov-switching conditional CAPM approach that endogenously defines different states of the market. This model is also extended to a multifactor context. The results show that estimates of performance vary ac...
Socially responsible investing in the global market : the performance of US and...
Cortez, Maria do Céu; Silva, Florinda; Areal, NelsonThis 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...