International socially responsible funds: financial performance and managerial skills during crisis and non-crisis markets

URN to cite this document:

urn:nbn:de:bvb:355-epub-441128 Copy

DOI to cite this document:

10.5283/epub.44112 Copy

Lesser, Kathrin ; Rößle, Felix ; Walkshäusl, Christian

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Date of publication of this fulltext: 12 Nov 2020 10:52

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Details

Item type:	Article
Journal or Publication Title:	Problems and Perspectives in Management
Publisher:	Business Perspectives
Volume:	14
Number of Issue or Book Chapter:	3
Page Range:	pp. 461-472
Date:	2016
Institutions:	Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder)
Identification Number:	Value Type 10.21511/ppm.14(3-2).2016.02 DOI
Keywords:	socially responsible investments, mutual funds, international markets, performance evaluation, managerial abilities
Dewey Decimal Classification:	300 Social sciences > 330 Economics
Status:	Published
Refereed:	Yes, this version has been refereed
Created at the University of Regensburg:	Yes
Item ID:	44112

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Abstract

Nofsinger and Varma (2014) provide evidence that U.S. socially responsible funds outperform conventional funds during periods of market turmoil and, therefore, grant some crisis insurance. To investigate whether the U.S.-based evidence can be transferred to international markets, the authors analyze a comprehensive sample of internationally-investing socially responsible equity funds in a period ...

Abstract

Nofsinger and Varma (2014) provide evidence that U.S. socially responsible funds outperform conventional funds during periods of market turmoil and, therefore, grant some crisis insurance. To investigate whether the U.S.-based evidence can be transferred to international markets, the authors analyze a comprehensive sample of internationally-investing socially responsible equity funds in a period from 2000 to 2012. As abnormal returns are model-specific, the authors apply standard and q-theory based performance measurement models. At first glance, the authors observe no crisis protection for internationally-investing socially responsible funds. However, splitting their sample in funds domiciled in North America, Europe, and Asia-Pacific to account for biases due to the origin of a fund, the authors find that socially responsible funds from North America outperform their peers in crisis periods irrespective of the applied performance evaluation model. The authors suggest that the U.S.-based evidence is restricted to internationally-investing funds domiciled in North America, and discover that this outperformance seems to be owed to the stock-picking abilities of North American fund managers and their
advantage due to the nature of the North American market.

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Metadata last modified: 25 Nov 2020 15:53

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