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The Ethical Mutual Fund Performance Debate: New Evidence from Canada
Open accessAbstract
Although the academic interest in ethical mutual fund performance has developed steadily, the evidence to date is mainly sample-specific. To tackle this critique, new research should extend to unexplored countries. Using this as a motivation, we examine the performance and risk sensitivities of Canadian ethical mutual funds vis-à-vis their conventional peers. In order to overcome the methodological deficiencies most prior papers suffered from, we use performance measurement approaches in the spirit of Carhart (1997, Journal of Finance 52(1): 57–82) and Ferson and Schadt (1996, Journal of Finance 51(2): 425–461). In doing so, we investigate the aggregated performance and investment style of ethical and conventional mutual funds and allow for time variation in the funds’ systematic risk. Our␣Canadian evidence supports the conjecture that any␣performance differential between ethical mutual funds and their conventional peers is statistically insignificant.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
Cited by
Does It Pay to Be Green? A Systematic Overview
Stefan, A., & Paul, L. (2008) · Academy of Management Perspectives · doi:10.5465/amp.2008.35590353 · Cited by 1,759
Why and How Investors Use ESG Information: Evidence from a Global Survey
Amel-Zadeh, A., & Serafeim, G. (2018) · Financial Analysts Journal · doi:10.2469/faj.v74.n3.2 · Cited by 1,721
Ghoul, S. E., & Karoui, A. (2021) · Finance Research Letters · doi:10.1016/j.frl.2020.101620 · Cited by 77
Responsible or Thematic? The True Nature of Sustainability-Themed Mutual Funds
Ielasi, F., & Rossolini, M. (2019) · Sustainability · doi:10.3390/su11123304 · Cited by 35
Inertia and discounting in the selection of socially responsible investments
Auger, P., Devinney, T., Dowling, G., & Eckert, C. (2016) · Annals in Social Responsibility · doi:10.1108/asr-07-2016-0006 · Cited by 7
Metadata
- Authors
- Bauer, R., Derwall, J., & Otten, R.
- Venue
- Journal of Business Ethics
- Published
- 2006-11-22
- Volume
- 70
- Issue
- 2
- Pages
- 111-124
- ISSN
- 0167-4544 (ISSN-L)
- 1573-0697
- OpenAlex
- W2115451547
- Cited by
- 427
- References
- 3
- FWCI
- 26.11
- Type
- journal article
- Language
- en
- Open access
- hybrid
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