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A Comparison between the Performance of Ehtical and Conventional US Funds - Do different ethical characteristics matter?

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Author(s)
Mattsson, Anna
Sandström, Lina
Keywords
performance evaluation
ethical funds
heterogeneity
environmental friendly
ESG
religiously responsible
social responsible
investment styles

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URI
http://hdl.handle.net/20.500.12424/145236
Online Access
http://hdl.handle.net/2077/36047
Abstract
This thesis investigates if there are differences in performance and investment styles between ethical and conventional US funds in the time period January 2004 – January 2014. We study both a pooled ethical portfolio and different ethical subgroups divided based on ethical characteristics and do a comparison with matched conventional portfolios. By applying Carhart (1997) four-factor model we control for the market, size, book-to-market ratio and momentum factors and get the risk-adjusted returns for our portfolios. We find no statistically significant difference in performance when examining the pooled ethical portfolio but when studying our ethical subgroups we find a statistically significant underperformance of our environmental friendly funds and our ESG funds, while we find a statistically significant outperformance of our religiously responsible funds. We only find small differences in investment styles between our portfolios. Our results indicate that ethical funds should not be treated as a homogenous group when examining ethical fund performance.
Date
2014-06-17
Type
H1
Identifier
oai:gupea.ub.gu.se:2077/36047
http://hdl.handle.net/2077/36047
Collections
Ecotheology Climate Justice and Food Security

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