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Style and performance of international socially responsible funds in Europe

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  • Leite, Paulo
  • Cortez, Maria Céu
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    Abstract

    This paper analyses the performance and investment styles of internationally oriented Socially Responsible Investment (SRI) funds, domiciled in eight European markets, in comparison with characteristics-matched conventional funds. To the best of our knowledge, this is the first multi-country study, focused on international SRI funds (investing in Global and in European equities), to combine the matched-pairs approach with the use of robust conditional multi-factor performance evaluation models, which allow for both time-varying alphas and betas and also control for home biases and spurious regression biases.

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    Bibliographic Info

    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 30 (2014)
    Issue (Month): C ()
    Pages: 248-267

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    Handle: RePEc:eee:riibaf:v:30:y:2014:i:c:p:248-267

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

    Related research

    Keywords: International funds; Socially responsible funds; Performance evaluation; Investment style; Matched-pairs approach;

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