메뉴 건너뛰기




Volumn 32, Issue 7-8, 2005, Pages 1465-1493

Evaluating the performance of ethical and non-ethical funds: A matched pair analysis

Author keywords

Ethical funds; Fund performance; Matched pair approach

Indexed keywords


EID: 27844438137     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/j.0306-686X.2005.00636.x     Document Type: Review
Times cited : (221)

References (45)
  • 1
    • 38249009666 scopus 로고
    • UK unit trust performance 1980-1989: A passive time-varying approach
    • Black., A, P. Fraser and D. Power (1992), 'UK Unit Trust Performance 1980-1989: A Passive Time-Varying Approach', Journal of Banking and Finance (September), pp. 1015-33.
    • (1992) Journal of Banking and Finance , Issue.SEPTEMBER , pp. 1015-1033
    • Black, A.1    Fraser, P.2    Power, D.3
  • 2
    • 0039252052 scopus 로고    scopus 로고
    • On the timing ability of mutual fund managers
    • Bollen, N. and J. Busse (2001), 'On the Timing Ability of Mutual Fund Managers', Journal of Finance, Vol. 56, No. 3, pp. 1075-94.
    • (2001) Journal of Finance , vol.56 , Issue.3 , pp. 1075-1094
    • Bollen, N.1    Busse, J.2
  • 4
    • 34447641644 scopus 로고    scopus 로고
    • The weekend and reverse weekend, effects: An analysis by month of the year, week of the month, and industry
    • Brusa, J., P. Liu and C. Schulman (2003), 'The Weekend and Reverse Weekend, Effects: An Analysis by Month of the Year, Week of the Month, and Industry', Journal of Business Finance & Accounting, Vol. 30, pp. 863-90.
    • (2003) Journal of Business Finance & Accounting , vol.30 , pp. 863-890
    • Brusa, J.1    Liu, P.2    Schulman, C.3
  • 5
    • 0002624840 scopus 로고    scopus 로고
    • On persistence in mutual fund performance
    • Carhart, M. (1997), 'On Persistence in Mutual Fund Performance', Journal of Finance, Vol. 52, No. 1, pp. 57-82.
    • (1997) Journal of Finance , vol.52 , Issue.1 , pp. 57-82
    • Carhart, M.1
  • 6
    • 85015629036 scopus 로고
    • A cross-sectional analysis of mutual funds' market timing and security skill
    • Chen, C., L. Cheng, S. Rahman and A. Chan (1992), 'A Cross-sectional Analysis of Mutual Funds' Market Timing and Security Skill', Journal of Business Finance & Accounting, Vol. 19, pp. 659-75.
    • (1992) Journal of Business Finance & Accounting , vol.19 , pp. 659-675
    • Chen, C.1    Cheng, L.2    Rahman, S.3    Chan, A.4
  • 7
    • 27844461379 scopus 로고    scopus 로고
    • Relative performance evaluation of mutual funds: A non-parametric approach
    • Choi, Y. and B. Murthi (2001), 'Relative Performance Evaluation of Mutual Funds: A Non-Parametric Approach', Journal of Business Finance of Accounting, Vol. 28, Nos. 7/8, pp. 853-76.
    • (2001) Journal of Business Finance of Accounting , vol.28 , Issue.7-8 , pp. 853-876
    • Choi, Y.1    Murthi, B.2
  • 8
    • 0039561990 scopus 로고    scopus 로고
    • Measuring mutual fund performance with characteristic-based benchmarks
    • Daniel, K., M. Grinblatt, S. Titman and R. Wermers (1997), 'Measuring Mutual Fund Performance with Characteristic-Based Benchmarks', Journal of Finance, Vol. 52, No. 3 (July), pp. 1035-58.
    • (1997) Journal of Finance , vol.52 , Issue.3 JULY , pp. 1035-1058
    • Daniel, K.1    Grinblatt, M.2    Titman, S.3    Wermers, R.4
  • 10
    • 0347611286 scopus 로고    scopus 로고
    • How big is the premium for currency risk?
    • De Santis, G. and B. Gerard (1998), 'How Big is the Premium for Currency Risk?', Journal of Financial Economics, Vol. 49. pp. 375-412.
    • (1998) Journal of Financial Economics , vol.49 , pp. 375-412
    • De Santis, G.1    Gerard, B.2
  • 11
    • 84963198140 scopus 로고
    • Unit trust objectives and investor choice
    • Draper, P. (1986), 'Unit Trust Objectives and Investor Choice', Applied Economics, Vol. 18, pp. 157-72.
    • (1986) Applied Economics , vol.18 , pp. 157-172
    • Draper, P.1
  • 12
    • 2642714122 scopus 로고    scopus 로고
    • July-August, London, UK
    • EIRiS (1997), The Ethical Investor (July-August, London, UK).
    • (1997) The Ethical Investor
  • 15
    • 27844569711 scopus 로고    scopus 로고
    • Winter, London, UK
    • _ (2003/4), The Ethical Investor (Winter, London, UK).
    • (2003) The Ethical Investor
  • 16
    • 21144474059 scopus 로고
    • Efficiency with costly information: A reinterpretation of evidence from managed portfolios
    • Elton, E., M. Gruber, S. Das and M. Hlavka (1993), 'Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios', The Review of Financial Studies, Vol. 6, No. 1, pp. 1-22.
    • (1993) The Review of Financial Studies , vol.6 , Issue.1 , pp. 1-22
    • Elton, E.1    Gruber, M.2    Das, S.3    Hlavka, M.4
  • 17
    • 11544342489 scopus 로고    scopus 로고
    • Value versus growth: The international evidence
    • Fama, E. and K. French (1998), 'Value versus Growth: The International Evidence', Journal of Finance, Vol. 53, No. 6, pp. 1975-99.
    • (1998) Journal of Finance , vol.53 , Issue.6 , pp. 1975-1999
    • Fama, E.1    French, K.2
  • 18
    • 0039056070 scopus 로고    scopus 로고
    • Measuring fund strategy and performance in changing economic conditions
    • Ferson, W. and R. Schadt (1996), 'Measuring Fund Strategy and Performance in Changing Economic Conditions', Journal of Finance, Vol. 51, No. 2, pp. 425-61.
    • (1996) Journal of Finance , vol.51 , Issue.2 , pp. 425-461
    • Ferson, W.1    Schadt, R.2
  • 19
    • 84984976251 scopus 로고
    • An examination of the selectivity and market timing performance of UK unit trusts
    • Fletcher, J. (1995), 'An Examination of the Selectivity and Market Timing Performance of UK Unit Trusts', Journal of Business Finance & Accounting, Vol. 22, No. 1 (January), PP. 143-55.
    • (1995) Journal of Business Finance & Accounting , vol.22 , Issue.1 JANUARY , pp. 143-155
    • Fletcher, J.1
  • 20
    • 49149143225 scopus 로고
    • Stock returns and the weekend effect
    • French, K. (1980), 'Stock Returns and the Weekend Effect', Journal of Financial Economics, Vol. 8, pp. 55-69.
    • (1980) Journal of Financial Economics , vol.8 , pp. 55-69
    • French, K.1
  • 21
    • 0035709947 scopus 로고    scopus 로고
    • Socially responsible investment and corporate social and environmental reporting: An exploratory study
    • Friedman, A. and S. Miles (2001), 'Socially Responsible Investment and Corporate Social and Environmental Reporting: An Exploratory Study', British Accounting Review, Vol. 33, pp. 523-48.
    • (2001) British Accounting Review , vol.33 , pp. 523-548
    • Friedman, A.1    Miles, S.2
  • 22
    • 27844523904 scopus 로고
    • Performance evaluation of norwegian mutual funds
    • Gjerde, O. and F. Saettem (1991), 'Performance Evaluation of Norwegian Mutual Funds', Scandinavian Journal of Management, Vol. 7, No. 4, pp. 297-307.
    • (1991) Scandinavian Journal of Management , vol.7 , Issue.4 , pp. 297-307
    • Gjerde, O.1    Saettem, F.2
  • 23
    • 0347651178 scopus 로고    scopus 로고
    • Ethical unit trust financial performance: Small company effects and fund size effects
    • Gregory, A., J. Matatko and R. Luther (1997), 'Ethical Unit Trust Financial Performance: Small Company Effects and Fund Size Effects', Journal of Business Finance & Accounting, Vol. 24, No. 5, pp. 705-25.
    • (1997) Journal of Business Finance & Accounting , vol.24 , Issue.5 , pp. 705-725
    • Gregory, A.1    Matatko, J.2    Luther, R.3
  • 24
    • 0001264756 scopus 로고
    • The evaluation of mutual fund performance: An analysis of quarterly portfolio holdings
    • Grinblatt, M. and S. Titman (1989), 'The Evaluation of Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings', Journal of Business, Vol. 62, pp. 394-415.
    • (1989) Journal of Business , vol.62 , pp. 394-415
    • Grinblatt, M.1    Titman, S.2
  • 25
    • 84971947408 scopus 로고
    • A study of monthly mutual fund returns and performance evaluation techniques
    • _ _ (1994), 'A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques', Journal of Financial and Quantitative Analysis, Vol. 3, pp. 419-44.
    • (1994) Journal of Financial and Quantitative Analysis , vol.3 , pp. 419-444
  • 26
    • 0002878373 scopus 로고
    • Doing well while doing good? The investment performance of socially responsible mutual funds
    • Hamilton, S., H. Jo and M. Statman (1993), 'Doing Well While Doing Good? The Investment Performance of Socially Responsible Mutual Funds', Financial Analysts Journal (November-December), pp. 62-66.
    • (1993) Financial Analysts Journal , Issue.NOVEMBER-DECEMBER , pp. 62-66
    • Hamilton, S.1    Jo, H.2    Statman, M.3
  • 27
    • 0000339351 scopus 로고
    • Ethical investment and the corporate reporting function
    • Harte, G., H. Lewis and D. Owen (1991), 'Ethical Investment and the Corporate Reporting Function', Critical Perspectives on Accounting, Vol. 2, pp. 227-53.
    • (1991) Critical Perspectives on Accounting , vol.2 , pp. 227-253
    • Harte, G.1    Lewis, H.2    Owen, D.3
  • 28
    • 0002500773 scopus 로고
    • Market timing and mutual fund performance: An empirical investigation
    • Henriksson, R. (1984), 'Market Timing and Mutual Fund Performance: An Empirical Investigation', Journal of Business, Vol. 57, No. 1, pp. 73-96.
    • (1984) Journal of Business , vol.57 , Issue.1 , pp. 73-96
    • Henriksson, R.1
  • 29
    • 0001309573 scopus 로고
    • On market timing and investment performance II. Statistical procedures for evaluating forecasting skills
    • _ and R. Merton (1981), 'On Market Timing and Investment Performance II. Statistical Procedures for Evaluating Forecasting Skills', Journal of Business, Vol. 54, No. 4, pp. 513-33.
    • (1981) Journal of Business , vol.54 , Issue.4 , pp. 513-533
    • Merton, R.1
  • 31
    • 84977716317 scopus 로고
    • Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons
    • Lehman, B. and D. Modest (1987), 'Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons', Journal of Finance, Vol. 42, No. 2, pp. 233-65.
    • (1987) Journal of Finance , vol.42 , Issue.2 , pp. 233-265
    • Lehman, B.1    Modest, D.2
  • 33
    • 0001873471 scopus 로고
    • The performance of ethical unit trusts: Choosing an appropriate benchmark
    • Luther, R. and J. Matatko (1994), 'The Performance of Ethical Unit Trusts: Choosing an Appropriate Benchmark', British Accounting Review, Vol. 26, pp. 77-89.
    • (1994) British Accounting Review , vol.26 , pp. 77-89
    • Luther, R.1    Matatko, J.2
  • 34
    • 84896359477 scopus 로고
    • The investment performance of UK "ethical" unit trusts
    • _ _ and D. Corner (1992), 'The Investment Performance of UK "Ethical" Unit Trusts', Accounting Auditing & Accountability Journal, Vol. 5, pp. 57-70.
    • (1992) Accounting Auditing & Accountability Journal , vol.5 , pp. 57-70
    • Corner, D.1
  • 36
    • 27844534643 scopus 로고
    • Buy high, sell low: Timing errors in mutual fund allocations
    • Nesbitt, S. (1995), 'Buy High, Sell Low: Timing Errors in Mutual Fund Allocations', The Journal of Portfolio Management (Fall), pp. 523-48.
    • (1995) The Journal of Portfolio Management , Issue.FALL , pp. 523-548
    • Nesbitt, S.1
  • 37
    • 0000706085 scopus 로고
    • A basic, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix
    • Newey, W. and K. West (1987), 'A Basic, Positive Semi-Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix', Econometrica, Vol. 55, pp. 347-70.
    • (1987) Econometrica , vol.55 , pp. 347-370
    • Newey, W.1    West, K.2
  • 39
    • 84977431626 scopus 로고
    • Ambiguity when performance is measured by the securities market line
    • Roll, R. (1978), 'Ambiguity when Performance is Measured by the Securities Market Line', Journal of Finance, Vol. 33, No 4, pp. 1051-69.
    • (1978) Journal of Finance , vol.33 , Issue.4 , pp. 1051-1069
    • Roll, R.1
  • 40
    • 0001752951 scopus 로고
    • Mutual fund performance
    • Sharpe, W. (1966), 'Mutual Fund Performance', Journal of Business, Vol. 39, No. 1, pp. 119-38.
    • (1966) Journal of Business , vol.39 , Issue.1 , pp. 119-138
    • Sharpe, W.1
  • 42
    • 0009333581 scopus 로고    scopus 로고
    • Socially responsible mutual funds
    • Statman, M. (2000), 'Socially Responsible Mutual Funds', Financial Analysts Journal (May-June), pp. 30-39.
    • (2000) Financial Analysts Journal , Issue.MAY-JUNE , pp. 30-39
    • Statman, M.1
  • 43
    • 0002332446 scopus 로고
    • How to rate management of investment funds
    • Treynor, J. (1965), 'How to Rate Management of Investment Funds', Harvard Business Review, Vol. 43 (January-February), pp. 63-75.
    • (1965) Harvard Business Review , vol.43 , Issue.JANUARY-FEBRUARY , pp. 63-75
    • Treynor, J.1
  • 44
    • 27844559970 scopus 로고    scopus 로고
    • Financial Times Group, Pearson Professional Limited, Preston, UK
    • Unit Trust and OICS Yearbook (2001) (Financial Times Group, Pearson Professional Limited, Preston, UK).
    • (2001) Unit Trust and OICS Yearbook
  • 45
    • 0000095552 scopus 로고
    • A heteroscedasticity-consistent covariance matrix estimator and a direct test for hetescedasity
    • White, H. (1980), 'A Heteroscedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Hetescedasity', Econometrica, Vol. 48, pp. 817-38.
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.