| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3482 |
| DP3482 Equilibrium Cross-Section of Returns | |
| Joao Gomes; Leonid Kogan; Lu Zhang | |
| 发表日期 | 2002-08-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Using an international database containing 103 German, UK and US ethical mutual funds, we review and extend previous research on ethical mutual fund performance. By applying a multi-factor Carhart (1997) model we solve the benchmark problem most prior ethical studies suffered from. After controlling for investment style, we find little evidence of significant differences in risk-adjusted returns between ethical and conventional funds for the 1990-2001 period. Introducing time variation in betas however leads to a significant under-performance of domestic US funds and a significant out-performance of UK ethical funds, relative to their conventional peers. Finally, we differentiate previous results by documenting a learning effect. After a period of strong under-performance, older ethical funds finally are catching up, while younger funds continue to under-perform both the index and conventional peers. |
| 主题 | Financial Economics |
| 关键词 | Ethical mutual funds Investment style |
| URL | https://cepr.org/publications/dp3482 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532498 |
| 推荐引用方式 GB/T 7714 | Joao Gomes,Leonid Kogan,Lu Zhang. DP3482 Equilibrium Cross-Section of Returns. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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