Performance and Performance Persistence of 'Ethical' Unit Trusts in the UK
AbstractWe examine performance, and persistence in the performance, of UK 'ethical' or SRI funds and find that performance appears to be time-varying, showing that conclusions on performance itself are influenced by whether a static or time varying model is employed. Given evidence that many UK funds which claim to be international in nature may exhibit home bias in their portfolio allocations, we also propose a new measure for performance of international funds that allows for this and show that such recognition has important implications for the conclusions drawn with respect to these funds. We find evidence that supports persistence in performance, particularly at longer time horizons. There is some evidence that for domestic funds, past 'winning' SRI funds outperform 'losing' SRI funds to a greater extent than their control portfolio counterparts. Copyright 2007 The Authors Journal compilation (c) 2007 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.
Volume (Year): 34 (2007-09)
Issue (Month): 7-8 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X
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- Javier Gil-Bazo & Pablo Ruiz-Verdu & Andre A. P. Santos, 2008.
"The performance of socially responsible mutual funds: the role of fees and management companies,"
Business Economics Working Papers
wb083409, Universidad Carlos III, Departamento de Economía de la Empresa.
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- Rathner, Sebastian, 2013. "The Relative Performance of Socially Responsible Investment Funds. New Evidence from Austria," Working Papers in Economics and Finance 2013-1, University of Salzburg.
- Luis Ferruz & Fernando Muñoz & María Vargas, 2012. "Managerial Abilities: Evidence from Religious Mutual Fund Managers," Journal of Business Ethics, Springer, vol. 105(4), pages 503-517, February.
- Capelle-Blancard, Gunther & Monjon, Stéphanie, 2012. "The Performance of Socially Responsible Funds : Does the Screening Process Matter ?," Economics Papers from University Paris Dauphine 123456789/7347, Paris Dauphine University.
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