Publicação
The performance of socially responsible equity mutual funds: evidence from Sweden
| Resumo: | 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 variability in fund returns arising from different benchmarks. In general, SR and conventional funds perform similarly to the market. At the aggregate level, SR funds investing in Sweden and Europe perform similarly to conventional funds, while those investing globally tend to underperform. This underperformance seems to be linked with poor selectivity abilities of global SR fund managers. For individual funds, the performance of both types of funds is more similar. Most funds perform similarly in crisis periods compared to non-crisis periods. Overall, our results support the view that the similar performance of SR and conventional funds is associated with the mainstreaming of SR investment in Sweden. These findings encourage SR investing both by socially conscious investors who wish to align their social values with their investment decisions, as well as by conventional investors, who will not be penalized by investing in these funds. |
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| Autores principais: | Leite, Carlos |
| Outros Autores: | Cortez, Maria do Céu; Silva, Florinda; Adcock, Chris |
| Assunto: | Socially responsible funds Performance evaluation Conditional models Swedish market |
| Ano: | 2018 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| Resumo: | 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 variability in fund returns arising from different benchmarks. In general, SR and conventional funds perform similarly to the market. At the aggregate level, SR funds investing in Sweden and Europe perform similarly to conventional funds, while those investing globally tend to underperform. This underperformance seems to be linked with poor selectivity abilities of global SR fund managers. For individual funds, the performance of both types of funds is more similar. Most funds perform similarly in crisis periods compared to non-crisis periods. Overall, our results support the view that the similar performance of SR and conventional funds is associated with the mainstreaming of SR investment in Sweden. These findings encourage SR investing both by socially conscious investors who wish to align their social values with their investment decisions, as well as by conventional investors, who will not be penalized by investing in these funds. |
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