Comparative risk adjusted performance of Islamic, socially responsible and conventional funds: Evidence from United Kingdom

Reddy, Krishna; Mirza, Nawazish; Naqvi, Bushra; Fu, Mingli

doi:10.1016/j.econmod.2017.07.007

Cited by 66 publications

(40 citation statements)

References 26 publications

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“…The adjusted Sharpe ratio was proposed by Pezier and White (2006). As documented by Mirza et al (2020), Reddy, Mirza, Naqvi, and Fu (2017) and Rizvi et al (2020), it accounts for possible non-normality in NAV based returns. The functional forms of fund's returns (R it ) and these measures are as follows:…”

Section: Methodsmentioning

confidence: 99%

The impact of human capital efficiency on Latin American mutual funds during Covid-19 outbreak

Mirza

Hasnaoui

Naqvi

et al. 2020

Swiss J Economics Statistics

Self Cite

114

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The mutual funds’ returns, inter alia, are dependent on fund managers’ performance. This makes human capital efficiency very central for consistent risk-adjusted performance. The persistence in performance becomes more critical during periods of high turbulence, like the one we are experiencing amidst the outbreak of Covid-19. In this research, we attempt to evaluate the performance of equity funds in massively impacted Latin American countries. These equity funds, with 95% of their investment in the infected region, are ranked as per their human capital efficiency using 2019 as the base year. Our findings demonstrate that funds with higher human capital efficiency significantly outperform their counterparts that rank lower on human capital efficiency. These findings remained consistent for the sub-periods that we specify to map the evolution of Covid-19. We conclude that equity funds should enhance their human capital efficiency to endure resilience amid macroeconomic shocks.

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Section: Methodsmentioning

confidence: 99%

The impact of human capital efficiency on Latin American mutual funds during Covid-19 outbreak

Mirza

Hasnaoui

Naqvi

et al. 2020

Swiss J Economics Statistics

Self Cite

114

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“…Islamic funds apply prohibitions on usury (e.g., charging interest), gambling and excessive riskiness (Abdelsalam et al ., ; Reddy et al ., ). Ullah et al .…”

Section: Emerging Themesmentioning

confidence: 97%

“…They have experienced significant growth and profile in financial markets. Islamic financial assets exceed $US1 trillion (Reddy et al ., ) and have over 800 dedicated Islamic equity indices published by Dow Jones, MSCI and FTSE (Abdelsalam et al ., ). The distinguishing feature of Islamic funds is their religious rules (Hayat and Kraeussl, ).…”

Section: Emerging Themesmentioning

confidence: 99%

Emerging new themes in environmental, social and governance investing: a systematic literature review

Daugaard

2019

Accounting & Finance

205

124

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Environmental, social and governance (ESG) investing is a large and influential industry. Its activities could be illuminated, appraised and improved by academic research. Unfortunately, research to date has focused on measuring return performance. A wider range of topics is necessary before research can properly inform investors, companies and regulators. This paper contributes to the challenge by systematically exploring the literature to reveal a richer array of topics: the heterogeneous nature of ESG investing, its costs and motivations, and its management literature origins. In addition to these established topics, five emerging themes are identified: the human element, climate change, fund flows, fixed income and the rise of non-Western players.

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“…Leite and Cortez [34] find that French SRI funds underperform in comparison with conventional funds during non-crisis period, while the performances of the two funds are similar during market downturns. By contrast, many studies report that SRI has no significantly different performance from that of conventional investments or funds [38][39][40][41][42][43][44][45][46][47][48]. Bauer et al [38] find no significant difference in a comparison of the risk-adjusted returns of 103 ethical mutual funds and conventional funds from the United States, the United Kingdom, and Germany.…”

Section: Literature Review and Hypothesesmentioning

confidence: 97%

Who Values Corporate Social Responsibility in the Korean Stock Market?

2019

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In this study, we explore the stock market’s response to new information that a firm has been included in the Dow Jones Sustainability Index (DJSI) in Korea. In addition, we investigate which investor group contributes to the changes, if any significant increase in returns is found, after a firm’s incorporation into the DJSI. This study aims to identify which investors value corporate social responsibility (CSR) in the Korean stock market and examine whether the government-led campaigns for CSR have affected private sector investors, as well as those from the public sector. We find statistically significant abnormal returns for firms after their first listing in the index, implying that investors in Korean markets consider a firm’s inclusion in the DJSI as good news for the firm value. Using a unique dataset from the Korea Exchange (KRX) on investors, we classify investors into four groups: individual investors, public pension funds, other institutional investors, and foreign investors. Unlike prior studies that focus only on the existence of abnormal returns, we investigate the trading behavior of each investor group for such announcements. We find that it is mainly the buying pressure of public pension funds that generates abnormal returns. By contrast, we cannot find statistically significant results for the other investor groups. This result implies that the government-led campaign for CSR has only had limited effects in the Korean stock market, and that awareness of CSR in the private sector should be improved.

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Comparative risk adjusted performance of Islamic, socially responsible and conventional funds: Evidence from United Kingdom

Cited by 66 publications

References 26 publications

The impact of human capital efficiency on Latin American mutual funds during Covid-19 outbreak

The impact of human capital efficiency on Latin American mutual funds during Covid-19 outbreak

Emerging new themes in environmental, social and governance investing: a systematic literature review

Who Values Corporate Social Responsibility in the Korean Stock Market?

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