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On the comparative performance of socially responsible and Islamic mutual funds.

Abdelsalam, O. and Duygun Fethi, M. and Matallín, J.C. and Tortosa-Ausina, E. (2014) 'On the comparative performance of socially responsible and Islamic mutual funds.', Journal of economic behavior and organization., 103 . S108-S128.

Abstract

This is the first study to provide comprehensive analyses of the relative performance of both socially responsible investment (SRI) and Islamic mutual funds. The analysis proceeds in two stages. In the first, the performance of the two categories of funds is measured using partial frontier methods. In the second stage, we use quantile regression techniques. By combining two variants of the Free Disposal Hull (FDH) methods (order-m and order-α) in the first stage of analysis and quantile regression in the second stage, we provide detailed analyses of the impact of different covariates across methods and across different quantiles. In spite of the differences in the screening criteria and portfolio management of both types of funds, variation in the performance is only found for some of the quantiles of the conditional distribution of mutual fund performance. We established that for the most inefficient funds the superior performance of SRI funds is significant. In contrast, for the best mutual funds this evidence vanished and even Islamic funds perform better than SRI. These results show the benefits of performing the analysis using quantile regression.

Item Type:Article
Keywords:Socially responsible funds, Islamic funds, Performance, Quantile regression.
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.jebo.2013.06.011
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 09:35
Last Modified:05 Feb 2016 10:25

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