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

Abdelsalam, O. and Duygun, D. and Matallín-Sáez, J.C. and Tortosa-Ausina, E. (2014) 'Do ethics imply persistence? The case of Islamic and socially responsible funds.', Journal of banking & finance., 40 . pp. 182-194.

Abstract

We analyze 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 funds—although 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.

Item Type:Article
Keywords:Islamic funds, Socially responsible investment funds, Performance, Persistence.
Full text:(AM) Accepted Manuscript
Available under License - Creative Commons Attribution Non-commercial No Derivatives.
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Status:Peer-reviewed
Publisher Web site:http://dx.doi.org/10.1016/j.jbankfin.2013.11.027
Publisher statement:© 2013 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Record Created:05 Feb 2016 09:20
Last Modified:05 Feb 2016 10:16

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