Are Green Fund Investors Really Socially Responsible?
This paper investigates the performance, fund characteristics, fund flow of green fund and the impact of subprime mortgage crisis on fund flow volatility. In terms of fund performance, our results show that there is no consistently significant difference between performance of green funds and conventional funds. As for fund characteristics, green funds are more sensitive to market and size risks compared to conventional funds, while they are less sensitive to value and momentum factors than conventional funds. Consistent with prior literature, there exists an asymmetric phenomenon for green funds, that is, fund flows of green funds are significantly related to lagged positive return but not significantly associated with lagged negative returns in normal market conditions. During the subprime mortgage crisis, both mature green and mature conventional funds experienced fund outflows. However, volatility of green funds flows is much lower than their conventional counterparts. Our results suggest that green fund investors can derive utility from the social responsibility attribute, and they are really more socially responsible when making investment decisions.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 15 (2012)
Issue (Month): 04 ()
|Contact details of provider:|| Web page: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml|
|Order Information:|| Email: |
When requesting a correction, please mention this item's handle: RePEc:wsi:rpbfmp:v:15:y:2012:i:04:p:1250023-1-1250023-25. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim)
If references are entirely missing, you can add them using this form.