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Ethical investing in Australia: Is there a financial penalty?

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  • Bauer, Rob
  • Otten, Roger
  • Rad, Alireza Tourani
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    File URL: http://www.sciencedirect.com/science/article/B6VFF-4GSJXF8-1/2/425fc919ca920238f8dfae8497c9f814
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    Bibliographic Info

    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 14 (2006)
    Issue (Month): 1 (January)
    Pages: 33-48

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    Handle: RePEc:eee:pacfin:v:14:y:2006:i:1:p:33-48

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    Web page: http://www.elsevier.com/locate/pacfin

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Gallagher, David R. & Jarnecic, Elvis, 2004. "International equity funds, performance, and investor flows: Australian evidence," Journal of Multinational Financial Management, Elsevier, vol. 14(1), pages 81-95, February.
    2. Sawicki, Julia & Ong, Fred, 2000. "Evaluating managed fund performance using conditional measures: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 505-528, July.
    3. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    4. Alan Gregory & John Matatko & Robert Luther, 1997. "Ethical Unit Trust Financial Performance: Small Company Effects and Fund Size Effects," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(5), pages 705-725.
    5. Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-61, June.
    6. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    7. Chris Bilson & Angela Frino & Richard Heaney, 2005. "Australian retail fund performance persistence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(1), pages 25-42.
    8. Chen, Zhiwu & Knez, Peter J, 1996. "Portfolio Performance Measurement: Theory and Applications," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 511-55.
    9. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    10. Bauer, Rob & Koedijk, Kees & Otten, Roger, 2005. "International evidence on ethical mutual fund performance and investment style," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1751-1767, July.
    11. Pesaran, M Hashem & Timmermann, Allan, 1995. " Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, vol. 50(4), pages 1201-28, September.
    12. Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996. " Momentum Strategies," Journal of Finance, American Finance Association, vol. 51(5), pages 1681-1713, December.
    13. Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 1-22.
    14. John Tippet, 2001. "Performance of Australia's Ethical Funds," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 34(2), pages 170-178.
    15. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, 05.
    16. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    17. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
    18. Roger Otten & Dennis Bams, 2002. "European Mutual Fund Performance," European Financial Management, European Financial Management Association, vol. 8(1), pages 75-101.
    19. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    20. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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    Cited by:
    1. Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "The price of ethics and stakeholder governance: The performance of socially responsible mutual funds," Journal of Corporate Finance, Elsevier, vol. 14(3), pages 302-322, June.
    2. Derwall, Jeroen & Koedijk, Kees & Ter Horst, Jenke, 2011. "A tale of values-driven and profit-seeking social investors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2137-2147, August.
    3. Sadorsky, Perry, 2014. "Modeling volatility and conditional correlations between socially responsible investments, gold and oil," Economic Modelling, Elsevier, vol. 38(C), pages 609-618.
    4. Stewart Jones & Sandra van der Laan & Geoff Frost & Janice Loftus, 2008. "The Investment Performance of Socially Responsible Investment Funds in Australia," Journal of Business Ethics, Springer, vol. 80(2), pages 181-203, June.
    5. Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "Socially responsible investments: Institutional aspects, performance, and investor behavior," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1723-1742, September.
    6. Céline Louche & Daniel Arenas & Katinka Cranenburgh, 2012. "From Preaching to Investing: Attitudes of Religious Organisations Towards Responsible Investment," Journal of Business Ethics, Springer, vol. 110(3), pages 301-320, October.
    7. 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.
    8. Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C., 2007. "The Price of Ethics: Evidence from Socially Responsible Mutual Funds," Discussion Paper 2007-012, Tilburg University, Tilburg Law and Economic Center.
    9. Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C., 2007. "Socially Responsible Investments: Methodology, Risk and Performance," Discussion Paper 2007-31, Tilburg University, Center for Economic Research.
    10. Janusz Brzeszczyński & Graham McIntosh, 2014. "Performance of Portfolios Composed of British SRI Stocks," Journal of Business Ethics, Springer, vol. 120(3), pages 335-362, March.
    11. Maobin Wang & Chun Qiu & Dongmin Kong, 2011. "Corporate Social Responsibility, Investor Behaviors, and Stock Market Returns: Evidence from a Natural Experiment in China," Journal of Business Ethics, Springer, vol. 101(1), pages 127-141, June.
    12. Y Ito & S Managi & A Matsuda, 2013. "Performances of socially responsible investment and environmentally friendly funds," Journal of the Operational Research Society, Palgrave Macmillan, vol. 64(11), pages 1583-1594, November.
    13. Yuchao Xiao & Robert Faff & Philip Gharghori & Darren Lee, 2013. "An Empirical Study of the World Price of Sustainability," Journal of Business Ethics, Springer, vol. 114(2), pages 297-310, May.
    14. Leite, Paulo & Cortez, Maria Céu, 2014. "Style and performance of international socially responsible funds in Europe," Research in International Business and Finance, Elsevier, vol. 30(C), pages 248-267.
    15. Janusz Brzeszczynski & Graham McIntosh, 2012. "Performance of Portfolios Composed of British SRI Stocks," CFI Discussion Papers 1204, Centre for Finance and Investment, Heriot Watt University.
    16. Jeremy Galbreath, 2013. "ESG in Focus: The Australian Evidence," Journal of Business Ethics, Springer, vol. 118(3), pages 529-541, December.
    17. Basso, Antonella & Funari, Stefania, 2014. "Constant and variable returns to scale DEA models for socially responsible investment funds," European Journal of Operational Research, Elsevier, vol. 235(3), pages 775-783.
    18. Sebastian Rathner, 2013. "The Influence of Primary Study Characteristics on the Performance Differential Between Socially Responsible and Conventional Investment Funds: A Meta-Analysis," Journal of Business Ethics, Springer, vol. 118(2), pages 349-363, December.

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