Performance of European socially responsible funds during market crises: Evidence from France

Leite, Paulo; Cortez, Maria Céu

doi:10.1016/j.irfa.2015.05.012

Cited by 95 publications

(109 citation statements)

References 51 publications

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“…Muñoz et al () compare the performance of green funds during crisis and non‐crisis periods and find that American green fund managers exhibit better managerial abilities in periods of crisis whereas the opposite is observed for European green fund managers. In relation to the French market, Leite and Cortez () show that SR funds underperform conventional funds in non‐crisis periods, but match them during crisis periods. Although the issue of whether fund performance is state dependent is attracting the interest of SR researchers, most studies on this topic suffer from some limitations.…”

Section: Literature Reviewmentioning

confidence: 99%

The performance of socially responsible equity mutual funds: Evidence from Sweden

Leite

Cortez

Silva

et al. 2017

Business Ethics: A Eur Rev

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This paper presents a comprehensive analysis of socially responsible (SR) funds in Sweden by assessing fund managers' abilities and performances across different market states. These issues are analyzed at the aggregate and individual fund levels. The paper also presents several new statistical tests that allow more precise inferences about differences in performance and the variability in fund returns arising from different benchmarks. In general, SR and conventional funds perform similarly to the market. At the aggregate level, SR funds investing in Sweden and Europe perform similarly to conventional funds, while those investing globally tend to underperform. This underperformance seems to be linked with poor selectivity abilities of global SR fund managers. For individual funds, the performance of both types of funds is more similar. Most funds perform similarly in crisis periods compared to non‐crisis periods. Overall, our results are consistent with a mature market for SR investing and support the view that the similar performance of SR and conventional funds is associated with the mainstreaming of SR investment in Sweden. These findings encourage SR investing both by socially conscious investors, who wish to align their social values with their investment decisions, as well as by conventional investors, who will not be penalized by investing in these funds. We also call attention to the difficulties investors face when trying to identify funds with high social standards, considering that there is scarce information on the extent to which each fund (SR or conventional) holds stocks that comply with ethical and social criteria.

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Section: Literature Reviewmentioning

confidence: 99%

The performance of socially responsible equity mutual funds: Evidence from Sweden

Leite

Cortez

Silva

et al. 2017

Business Ethics: A Eur Rev

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“…Then, to be able to compare bond fund performance and risk estimates during recession and expansion periods, we follow Nofsinger and Varma (2014) and Leite and Cortez (2015) and incorporate two dummy variables in our model, so that we can obtain the coefficients for each market state. As a result, our new specification corresponds to the following regression:…”

Section: Methodsologymentioning

confidence: 99%

Bond Fund Performance During Recessions and Expansions: Empirical Evidence from a Small Market

Leite

Armada

2016

Int Rev Finance

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This paper provides the first investigation about bond mutual fund performance during recession and expansion periods separately. Based on multi‐factor performance evaluation models, results show that bond funds significantly underperform the market during both phases of the business cycle. Nevertheless, unlike equity funds, bond funds exhibit considerably higher alphas during good economic states than during market downturns. These results, however, seem entirely driven by the global financial crisis sub‐period. In contrast, during the recession associated to the Euro sovereign debt crisis, bond funds are able to accomplish neutral performance. This improved performance throughout the debt crisis seems to be related to more conservative investment strategies, which reflect an increase in managers' risk aversion.

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“…To that end, researchers have employed multi-factor asset pricing models such as the Fama-French three-factor model [20] and the Carhart four-factor model [21] as well as the more recent Fama-French five-factor model [4]. These are of the works of Goldreyer and Diltz [22], Cummings [23], Bello [24], Bauer et al [25], Gregory and Whittaker [26], Jones et al [27], Cortez et al [28], Humphrey and Lee [29], Capelle and Monjon [30], Nofsinger and Varma [31], Lean et al [32], Leite and Cortez [33], Jin and Han [34] Joliet and Titova [3], Segura et al [15], Boermans and Galema [35], Martí-Ballester [36] and Martí-Ballester [37], among others.…”

Section: Literature Reviewmentioning

confidence: 96%

Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas

Miralles‐Quirós

Nogueira

2020

Sustainability

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This study focuses on assets related to Sustainable Development Goals (SDGs), which are the most recent aspect of the Socially Responsible Investment framework and have caught the attention of investors due to their investment opportunities as well as the global challenges that can be achieved. The profitability of developing an investment strategy is shown based on the value of the alphas obtained from the estimation of the Fama-French five-factor model when compared to an equally weighted portfolio, even when transaction costs are taken into consideration. In addition, it is proven that investors should focus their investments on two main SDGs: Good health and well-being (Goal 3) and Industry, innovation and infrastructure (Goal 9).

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Performance of European socially responsible funds during market crises: Evidence from France

Cited by 95 publications

References 51 publications

The performance of socially responsible equity mutual funds: Evidence from Sweden

The performance of socially responsible equity mutual funds: Evidence from Sweden

Bond Fund Performance During Recessions and Expansions: Empirical Evidence from a Small Market

Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas

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