Publicação
The performance of European SRI funds investing in bonds and their comparison to conventional funds
| Resumo: | This paper evaluates the performance of European SRI fixed-income funds domiciled in France and in Germany compared to characteristics-matched conventional funds. Fund performance is evaluated by means of conditional multi-factor models that allow for both time-varying risk and performance. The results show that SRI balanced funds perform similarly to conventional funds, whereas SRI bond funds significantly outperform their peers. The outperformance of SRI bond funds seems more related to their government (and not their corporate) bond holdings. Compared to conventional funds, SRI funds are significantly less exposed to bonds issued by the countries most affected by the Euro sovereign debt crisis, which is consistent with more conservative and long term oriented investment strategies. |
|---|---|
| Autores principais: | Leite, Paulo |
| Outros Autores: | Cortez, Maria Céu |
| Assunto: | Socially responsible funds fixed-income funds performance evaluation |
| 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 |
| _version_ | 1866878110228545536 |
|---|---|
| author | Leite, Paulo |
| author2 | Cortez, Maria Céu |
| author2_role | author |
| author_facet | Leite, Paulo Cortez, Maria Céu |
| author_role | author |
| contributor_name_str_mv | Universidade do Minho |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Leite, Paulo\"},{\"Person.name\":\"Cortez, Maria Céu\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Universidade do Minho |
| datacite.creators.creator.creatorName.fl_str_mv | Leite, Paulo Cortez, Maria Céu |
| datacite.date.Accepted.fl_str_mv | 2018-01-01T00:00:00Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| datacite.subjects.subject.fl_str_mv | Socially responsible funds fixed-income funds performance evaluation |
| datacite.titles.title.fl_str_mv | The performance of European SRI funds investing in bonds and their comparison to conventional funds |
| dc.contributor.none.fl_str_mv | Universidade do Minho |
| dc.creator.none.fl_str_mv | Leite, Paulo Cortez, Maria Céu |
| dc.date.Accepted.fl_str_mv | 2018-01-01T00:00:00Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | https://hdl.handle.net/1822/55110 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Taylor and Francis |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| dc.subject.none.fl_str_mv | Socially responsible funds fixed-income funds performance evaluation |
| dc.title.fl_str_mv | The performance of European SRI funds investing in bonds and their comparison to conventional funds |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_6501 |
| description | This paper evaluates the performance of European SRI fixed-income funds domiciled in France and in Germany compared to characteristics-matched conventional funds. Fund performance is evaluated by means of conditional multi-factor models that allow for both time-varying risk and performance. The results show that SRI balanced funds perform similarly to conventional funds, whereas SRI bond funds significantly outperform their peers. The outperformance of SRI bond funds seems more related to their government (and not their corporate) bond holdings. Compared to conventional funds, SRI funds are significantly less exposed to bonds issued by the countries most affected by the Euro sovereign debt crisis, which is consistent with more conservative and long term oriented investment strategies. |
| dirty | 0 |
| eu_rights_str_mv | restrictedAccess |
| format | article |
| fulltext.url.fl_str_mv | https://prod-dspace.uminho.pt/bitstreams/e9edf218-7429-449e-85a3-87fc56f6f7bb/download |
| id | rum_b60a4d397b36cf284872829d18ec4e27 |
| identifier.url.fl_str_mv | https://hdl.handle.net/1822/55110 |
| instacron_str | repositorium |
| institution | Universidade do Minho |
| instname_str | Universidade do Minho |
| language | eng |
| network_acronym_str | rum |
| network_name_str | RepositóriUM - Universidade do Minho |
| oai_identifier_str | oai:repositorium.uminho.pt:1822/55110 |
| organization_str_mv | urn:organizationAcronym:repositorium |
| person_str_mv | Leite, Paulo Cortez, Maria Céu |
| publishDate | 2018 |
| publisher.none.fl_str_mv | Taylor and Francis |
| reponame_str | RepositóriUM - Universidade do Minho |
| repository_id_str | urn:repositoryAcronym:rum |
| service_str_mv | urn:repositoryAcronym:rum |
| spelling | engTaylor and FrancisporThis paper evaluates the performance of European SRI fixed-income funds domiciled in France and in Germany compared to characteristics-matched conventional funds. Fund performance is evaluated by means of conditional multi-factor models that allow for both time-varying risk and performance. The results show that SRI balanced funds perform similarly to conventional funds, whereas SRI bond funds significantly outperform their peers. The outperformance of SRI bond funds seems more related to their government (and not their corporate) bond holdings. Compared to conventional funds, SRI funds are significantly less exposed to bonds issued by the countries most affected by the Euro sovereign debt crisis, which is consistent with more conservative and long term oriented investment strategies.application/pdfporThe performance of European SRI funds investing in bonds and their comparison to conventional fundsLeite, PauloCortez, Maria CéuHostingInstitutionOrganizationalUniversidade do Minhoe-mailmailto:repositorium@usdb.uminho.ptrepositorium@usdb.uminho.ptISSNIsPartOf1029-3523DOIIsPartOf10.1080/10293523.2017.1414911201820172018-01-01T00:00:00ZHandlehttps://hdl.handle.net/1822/55110http://purl.org/coar/access_right/c_16ecrestricted accessSocially responsible fundsfixed-income fundsperformance evaluation970393 bytesliteraturehttp://purl.org/coar/resource_type/c_6501journal articlehttp://purl.org/coar/access_right/c_16ecapplication/pdffulltexthttps://prod-dspace.uminho.pt/bitstreams/e9edf218-7429-449e-85a3-87fc56f6f7bb/download |
| spellingShingle | The performance of European SRI funds investing in bonds and their comparison to conventional funds Leite, Paulo Socially responsible funds fixed-income funds performance evaluation |
| status | SINGLETON |
| subject.fl_str_mv | Socially responsible funds fixed-income funds performance evaluation |
| title | The performance of European SRI funds investing in bonds and their comparison to conventional funds |
| title_full | The performance of European SRI funds investing in bonds and their comparison to conventional funds |
| title_fullStr | The performance of European SRI funds investing in bonds and their comparison to conventional funds |
| title_full_unstemmed | The performance of European SRI funds investing in bonds and their comparison to conventional funds |
| title_short | The performance of European SRI funds investing in bonds and their comparison to conventional funds |
| title_sort | The performance of European SRI funds investing in bonds and their comparison to conventional funds |
| topic | Socially responsible funds fixed-income funds performance evaluation |
| topic_facet | Socially responsible funds fixed-income funds performance evaluation |
| url | https://hdl.handle.net/1822/55110 |
| visible | 1 |