Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/26931

TitleThe conditional performance of US mutual funds over different market regimes : do different types of ethical screens matter?
Author(s)Areal, Nelson
Cortez, Maria do Céu
Silva, Florinda
KeywordsSocially responsible mutual funds
Vice fund
Fund performance evaluation
Market regimes
Markov-switching conditional models
Issue date2013
PublisherSpringer
JournalFinancial Markets and Portfolio Management
Abstract(s)We investigate the performance of US mutual funds that employ different ethical criteria: religious, socially responsible, and irresponsible. Performance is evaluated over different market regimes using a Markov-switching conditional CAPM approach that endogenously defines different states of the market. This model is also extended to a multifactor context. The results show that estimates of performance vary across different market regimes. The Vice Fund, which invests in unethical firms, outperforms in low-volatility regimes, but underperforms in high-volatility regimes. These results contradict the Vice Fund’s claim that it constitutes a “solid investment during recessionary periods”. Our results show that socially responsible and morally responsible funds exhibit different performance across different market conditions, thereby supporting the use of performance evaluation models that take into account different market regimes. Overall, different types of ethical screens seem to lead to different performance patterns across different market regimes.
TypeArticle
URIhttp://hdl.handle.net/1822/26931
DOI10.1007/s11408-013-0218-5
ISSN1555-4961
Publisher versionhttp://link.springer.com/article/10.1007/s11408-013-0218-5
Peer-Reviewedyes
AccessRestricted access (UMinho)
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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