International Evidence on Ethical Mutual Fund Performance and Investment Style

R.M.M.J. Bauer, C.G. Koedijk*, R.R.A.E. Otten

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

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Using an international database containing 103 german, uk and us ethical mutual funds we review and extend previous research on ethical mutual fund performance. By applying a carhart multi-factor model [carhart, journal of finance 57 (1997) 57] we overcome the benchmark problem most prior ethical studies suffered from. After controlling for investment style, we find no evidence of significant differences in risk-adjusted returns between ethical and conventional funds for the 1990–2001 period. Our results also suggest that ethical mutual funds underwent a catching up phase, before delivering financial returns similar to those of conventional mutual funds. Finally, our performance estimates are robust to the inclusion of ethical indexes, which, surprisingly, are not incrementally capable of explaining ethical mutual fund return variation.
Original languageEnglish
Pages (from-to)1751-1767
JournalJournal of Banking & Finance
Issue number7
Early online date23 Sept 2004
Publication statusPublished - Jul 2005


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