Investing in Mutual Funds: Does it Pay to Be a Sinner or a Saint in Times of Crisis?

Areal, Nelson; Cortez, Maria Céu; Silva, Florinda

doi:10.2139/ssrn.1676391

Cited by 7 publications

(5 citation statements)

References 58 publications

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“…However, the methodological approach implemented by these authors is less sophisticated (they use the CAPM model) than that of Boasson et al (2006), who implement a multifactorial performance model. Areal et al (2011) did not find differences in financial performance between religious and other types of SR mutual funds.…”

Section: Introductionmentioning

confidence: 61%

Managerial Abilities: Evidence from Religious Mutual Fund Managers

2011

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In this study, we analyze the financial performance and the managerial abilities of religious mutual fund managers, implementing a comparative analysis with conventional mutual funds. We use a broad sample, free of survivorship bias, of religious equity mutual funds from the US market, for the period from January 1994 to September 2010. We build a matched-pair conventional sample in order to compare the results obtained for both kinds of mutual fund managers. We analyze stock-picking and market timing abilities, topics widely neglected for the specific case of religious mutual fund managers. We also study style timing abilities. As far as we are aware, this aspect has not been studied previously for religious mutual fund managers. Our results indicate that religious mutual fund managers underperform both the market and their conventional counterparts. This result is driven by negative stock-picking ability which could be generated by excluding ''Sin'' stocks from their portfolios. Moreover, they are not able to time the market or any of the following styles: size, book-to-market, and momentum.

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Section: Introductionmentioning

confidence: 61%

Managerial Abilities: Evidence from Religious Mutual Fund Managers

2011

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“…Istilah lain skrining positif antara lain inclusionary screening (Barnea et al, 2005), supportive strategies, incentive investment, guideline portfolio investing (Sandberg et al, 2009). Skrining positif merupakan pendekatan investasi etis dengan memilih perusahaan berdasarkan kontribusi positifnya terhadap masyarakat (Barnea et al, 2005) atau berdasarkan keterlibatannya secara aktif pada isu-isu beorientasi stakeholder tertentu (Areal, Cortez dan Silva, 2010). Investor yang menerapkan strategi ini akan berinvestasi hanya di perusahaan yang memiliki kriteria tertentu (von Wallis dan Klein, 2015) seperti kriteria sosial, lingkungan dan etika (SEE) (Renneboog et al, 2007a, b).…”

Section: Strategi Skrining Positifunclassified

Investasi Etis (Ethical Investment) (Konsep, Dasar Pertimbangan Dan Pendekatan)

Mubarok

2022

jesya

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Ethical investment has experienced very fast and high growth over the last decade. The growth and development of this investment occurs both at the local (Indonesian) level and at the global level. In Indonesia, the growth and development of ethical investment can be seen from the increasing number of ethical-based stock indices and the value of stock market capitalization in each of these indices. Meanwhile at the global level, it can be seen from the increase in the value of ethical investments, especially in the five main world markets, namely Europe, the United States, Japan, Canada and Australia and New Zealand. Underlying this phenomenon needs to be explored further on the issue of ethical investment. This article tries to explore more deeply ethical investing, especially regarding the concepts, basis for decisions and approaches (strategies) in ethical investment activities.

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“…They identify the main reason for the over performance of sin stocks lies in not abiding to or upholding implicit or explicit costly social standards. Areal et al (2010) use data from 1993 to 2009 and find the "irresponsible fund" outperforms the market when volatility is low, but underperforms the benchmark during times of high-volatility. They conclude the "irresponsible fund" exhibits a higher level of systematic risk ( β) in low volatility regimes, a lower level of systematic risk in high-volatility regimes.…”

Section: Literature Reviewmentioning

confidence: 99%

Fewer reasons to sin: a five-factor investigation of vice stock returns

Richey

2017

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Purpose The purpose of this paper is to investigate the return performance of a portfolio of US “vice stocks,” firms that manufacture and sell products such as alcohol, tobacco, gaming services, national defense and firearms, adult entertainment, and payday lenders. Design/methodology/approach Using daily return data from a portfolio of vice stocks over the period 1987-2016, the author computes the Jensen’s α (capital asset pricing model (CAPM)), Fama-French Three-Factor, Carhart Four-Factor, and Fama-French Five-Factor results for the complete portfolio, and each vice industry individually. Findings The results from the CAPM, Fama-French Three-Factor Model, and the Carhart Four-Factor Model show a positive and significant α for the vice portfolio throughout the sample period. However, the α’s significance disappears with the addition of the explanatory variables from the Fama-French Five-Factor Model. Originality/value The author provides academics and practitioners with results from a new model. As of this writing, the author is unaware of any articles published in peer-reviewed academic journals that investigate vice stocks within the framework of the Fama-French Five-Factor Model (2015). First, the existing literature does not shed light on the relationship between “profitability” and “aggressiveness” (the fourth and fifth factors of the Fama-French Model) and vice stock returns. Second, within the framework of the Fama-French Five-Factor Model, the author shows results not only from a portfolio of vice stocks, but from various vice industries as well.

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Investing in Mutual Funds: Does it Pay to Be a Sinner or a Saint in Times of Crisis?

Cited by 7 publications

References 58 publications

Managerial Abilities: Evidence from Religious Mutual Fund Managers

Managerial Abilities: Evidence from Religious Mutual Fund Managers

Investasi Etis (Ethical Investment) (Konsep, Dasar Pertimbangan Dan Pendekatan)

Fewer reasons to sin: a five-factor investigation of vice stock returns

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