Publicação
The performance of green and black european mutual funds investing in the global market
| Resumo: | This dissertation analyses the performance of 21 green mutual funds and 28 black mutual funds, domiciled in six European countries, at the aggregate and individual level. The sample period is from December 2003 to November 2019. The performance evaluation of funds is produced using unconditional and conditional multifactor models. Additionally, we also develop a performance evaluation of funds in different market states, namely, in recession and expansion periods. In general, empirical evidence exhibits no statistically significant differences between the performance of green and black mutual funds, indicating that investors will not obtain higher or lower returns investing in these types of funds. Considering the green mutual funds, the explanatory power of the models is higher when using a conventional index. By contrast, for black funds, this coefficient is higher when applying a “black” index. In relation to the analysis in different market conditions, green funds show an inferior performance in expansion periods, while in recessions, the performance of these funds does not diverge significantly. With respect to black funds, the performance is neutral during expansions, and also does not diverge significantly in recessions periods. Concerning the portfolios’ difference, the results are not significant, suggesting a similar performance between green and black funds. Additionally, the results also support the use of conditional models, proving to be better to explain the portfolio’s returns. |
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| Autores principais: | Ferreira, Ana Carolina da Silva |
| Assunto: | Black mutual funds Fossil fuel industry Green mutual funds Performance evaluation Socially responsible investment Avaliação de desempenho Fundos de investimento verdes Fundos de investimento pretos Indústria combustíveis fósseis Investimento socialmente responsável |
| Ano: | 2020 |
| 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: | This dissertation analyses the performance of 21 green mutual funds and 28 black mutual funds, domiciled in six European countries, at the aggregate and individual level. The sample period is from December 2003 to November 2019. The performance evaluation of funds is produced using unconditional and conditional multifactor models. Additionally, we also develop a performance evaluation of funds in different market states, namely, in recession and expansion periods. In general, empirical evidence exhibits no statistically significant differences between the performance of green and black mutual funds, indicating that investors will not obtain higher or lower returns investing in these types of funds. Considering the green mutual funds, the explanatory power of the models is higher when using a conventional index. By contrast, for black funds, this coefficient is higher when applying a “black” index. In relation to the analysis in different market conditions, green funds show an inferior performance in expansion periods, while in recessions, the performance of these funds does not diverge significantly. With respect to black funds, the performance is neutral during expansions, and also does not diverge significantly in recessions periods. Concerning the portfolios’ difference, the results are not significant, suggesting a similar performance between green and black funds. Additionally, the results also support the use of conditional models, proving to be better to explain the portfolio’s returns. |
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