Do ethics imply persistence? The case of Islamic and socially responsible funds

Abstract

Citation for published item:edelslmD yF nd huygunD hF nd wtll¡ %nE¡ ezD tFgF nd ortosEeusinD iF @PHIRA 9ho ethis imply persistenec he se of sslmi nd soilly responsile fundsF9D tournl of nking (nneFD RH F ppF IVPEIWRF Further information on publisher's website: Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-prot purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. Meryem DuygunUniversity of Leicester Juan Carlos MatallínUniversitat Jaume I Emili Tortosa-AusinaUniversitat Jaume I and Ivie January 16, 2014 AbstractWe analyse the performance persistence of Islamic and Socially Responsible Investment (SRI) mutual funds. We adopt a multi-stage strategy in which, in the first stage, partial frontiers' approaches are considered to measure the performance of the different funds in the sample. In the second stage, the results yielded by the partial frontiers are plugged into different investment strategies based on a recursive estimation methodology whose persistence performance is evaluated in the third stage of the analysis. Results indicate that, for both types of funds, performance persistence actually exists, but only for the worst and, most notably, best funds. This result is robust not only across methods (and different choices of tuning parameters within each method) but also across both SRI and Islamic fundsalthough in the case of the latter persistence was stronger for the best funds. The persistence of SRI and Islamic funds represents an important result for investors and the market, since it provides information on both which funds to invest in and which funds to avoid. Last but not least, the use of the aforementioned techniques in the context of mutual funds could also be of interest for the non-conclusive literature.

Does Shariah Compliant Stocks Perform Better than the Conventional Stocks? A Comparative Study Stocks Listed on the Australian Stock Exchange

“…A purification process need to be carried out to eliminate or clean the portfolio of interest income or other impermissible revenue sources. According to Abdelsalam, Duygun, Matallín-Sáez and Tortosa-Ausina (2014), one way of cleansing impermissible income is to donate it to charities and to non-government organisations.…”

Islamic, socially responsible, and conventional market comovements: Evidence from stock indices

“…Despite this, Forte and Miglietta () found these investors do not necessarily arrive at similar outcomes in terms of asset allocations, econometric profiles, or sector exposures. Focusing on mutual fund performance, Abdelsalam, Duyugun, Matallin, and Tortosa‐Ausina () showed in both Islamic and SRI mutual funds exhibit performance persistence. Moreover, Abdelsalam, Duyugun, Matallin, and Tortosa‐Ausina () provided weak evidence that the average efficiency of SRI mutual funds is slightly better than that of Islamic ones, but the best Islamic funds perform better than SRI (Abdelsalam et al, ).…”

Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index

“…One of the most controversial issues surrounding SRIs is whether the selection of investments based on ethical and social performance criteria has a bearing on the wealth maximisation objective of investors. To address this issue, most existing studies focus on comparing the financial performance of ethically screened funds to their conventional counterparts (see, e.g., Mallin et al, 1995;Renneboog et al, 2008;Abdelsalam et al, 2014).…”