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The Ethical Mutual Fund Performance Debate: New Evidence from Canada

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  • Rob Bauer
  • Jeroen Derwall
  • Rogér Otten

Abstract

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Suggested Citation

  • Rob Bauer & Jeroen Derwall & Rogér Otten, 2007. "The Ethical Mutual Fund Performance Debate: New Evidence from Canada," Journal of Business Ethics, Springer, vol. 70(2), pages 111-124, January.
    • Handle: RePEc:kap:jbuset:v:70:y:2007:i:2:p:111-124
    DOI: 10.1007/s10551-006-9099-0
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    References listed on IDEAS

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    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Chen, Zhiwu & Knez, Peter J, 1996. "Portfolio Performance Measurement: Theory and Applications," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 511-555.
    3. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    4. Michael Berkowitz, 2001. "Common Risk Factors in Explaining Canadian Equity Returns," Working Papers berk-00-01, University of Toronto, Department of Economics.
    5. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    6. 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.
    7. 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, June.
    8. Karen Ruckman, 2003. "Expense ratios of North American mutual funds," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(1), pages 192-223, March.
    9. 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 425-461, June.
    10. Berkowitz, Michael K. & Qiu, Jiaping, 2003. "Ownership, risk and performance of mutual fund management companies," Journal of Economics and Business, Elsevier, vol. 55(2), pages 109-134.
    11. Bauer, Rob & Otten, Roger & Rad, Alireza Tourani, 2006. "Ethical investing in Australia: Is there a financial penalty?," Pacific-Basin Finance Journal, Elsevier, vol. 14(1), pages 33-48, January.
    12. 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.
    13. Pesaran, M Hashem & Timmermann, Allan, 1995. "Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, vol. 50(4), pages 1201-1228, September.
    14. Karen Ruckman, 2003. "Expense ratios of North American mutual funds," Canadian Journal of Economics, Canadian Economics Association, vol. 36(1), pages 192-223, February.
    15. 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.
    16. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    17. 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.
    18. 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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    More about this item

    Keywords

    ethical mutual funds; mutual fund performance; performance measurement; socially responsible investing (SRI); business ethics; G12; G20; G23; M14;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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