Ethical Investing in Australia, is there a Financial Penalty?

R.R.A.E. Otten*, R.M.M.J. Bauer, A. Tourani Rad

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

This study provides new evidence on the performance and investment style of retail ethical funds in australia. By applying a conditional multi-factor model and after controlling for investment style, time-variation in betas and home bias, we observe no evidence of significant differences in risk-adjusted returns between ethical and conventional funds during 1992–2003. This result however is sensitive to the chosen time period. During 1992–1996 domestic ethical funds under-performed their conventional counterparts significantly, whereas during 1996–2003 ethical funds matched the performance of conventional funds more closely. This suggests that ethical mutual funds underwent a catching up phase, before delivering returns similar to those of conventional mutual funds.
Original languageEnglish
Pages (from-to)33-48
Number of pages15
JournalPacific - Basin Finance Journal
Volume14
Issue number1
DOIs
Publication statusPublished - 1 Jan 2006

Fingerprint

Dive into the research topics of 'Ethical Investing in Australia, is there a Financial Penalty?'. Together they form a unique fingerprint.

Cite this