Publicação
Financial performance of US green mutual funds
| Resumo: | The growing concern with environmental problems made some investors more aware and motivated them to incorporate environmental concerns into their investment decisions. This study evaluates the financial performance of US green mutual funds. For this purpose, US green mutual funds (domestic and global), are analysed between the period of January 2000 to October 2020. Green mutual funds are compared with conventional mutual funds through a matching-pair approach. Unconditional models, conditional models and models that take into account different market conditions, specifically, periods of crisis and periods of non-crisis are used. In general, the findings suggest that green funds do not perform significantly different from conventional funds. The results also show that green and conventional funds are positively exposed to the market and, in general, they are also exposed to small-cap stocks. In the conditional model, more specifically, in the conditional Fama and French (2018) six-factor model, the green global funds present a significantly better performance in comparison to the conventional global funds in times of higher interest rates. The Wald test reports evidence of time-varying betas and evidence of time-varying betas and alphas demonstrating that funds vary over time with economical conditions, supporting in this way the use of conditional models. Regarding models that take into account different market conditions, specifically, periods of crisis and periods of non-crisis the results report that the performance in periods of crisis is not significantly different from the performance in periods of non-crisis. However, several portfolios present significantly different exposure to some risk factors between crisis and non-crisis periods, supporting in this way the use of these models. |
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| Autores principais: | Aguiar, Nísia Pita |
| Assunto: | Conditional models Different market conditions Green mutual funds Matching-pair analysis Unconditional models Análise de pares combinados Diferentes condições de mercado Fundos mútuos verdes Modelos condicionais Modelos incondicionais Ciências Sociais::Economia e Gestão |
| Ano: | 2021 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| Resumo: | The growing concern with environmental problems made some investors more aware and motivated them to incorporate environmental concerns into their investment decisions. This study evaluates the financial performance of US green mutual funds. For this purpose, US green mutual funds (domestic and global), are analysed between the period of January 2000 to October 2020. Green mutual funds are compared with conventional mutual funds through a matching-pair approach. Unconditional models, conditional models and models that take into account different market conditions, specifically, periods of crisis and periods of non-crisis are used. In general, the findings suggest that green funds do not perform significantly different from conventional funds. The results also show that green and conventional funds are positively exposed to the market and, in general, they are also exposed to small-cap stocks. In the conditional model, more specifically, in the conditional Fama and French (2018) six-factor model, the green global funds present a significantly better performance in comparison to the conventional global funds in times of higher interest rates. The Wald test reports evidence of time-varying betas and evidence of time-varying betas and alphas demonstrating that funds vary over time with economical conditions, supporting in this way the use of conditional models. Regarding models that take into account different market conditions, specifically, periods of crisis and periods of non-crisis the results report that the performance in periods of crisis is not significantly different from the performance in periods of non-crisis. However, several portfolios present significantly different exposure to some risk factors between crisis and non-crisis periods, supporting in this way the use of these models. |
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