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International Evidence on Ethical Mutual Fund Performance and Investment Style


Rogér Otten


Maastricht University - Department of Finance; Philips Pension Fund

Rob Bauer


Maastricht University

Kees C. G. Koedijk


Tilburg University - Department of Finance

March 7, 2002

LIFE Working Paper No. 02.59

Abstract:     
Using an international database containing 103 German, UK and US ethical mutual funds we review and extend previous research on ethical mutual fund performance. By applying a multi-factor Carhart (1997) model we solve the benchmark problem most prior ethical studies suffered from. After controlling for investment style, we find little evidence of significant differences in risk-adjusted returns between ethical and conventional funds for the 1990-2001 period. Introducing time-variation in betas however leads to a significant under-performance of domestic US funds and a significant out-performance of UK ethical funds, relative to their conventional peers. Finally, we differentiate previous results by documenting a learning effect. After a period of strong under-performance, older ethical funds finally are catching up, while younger funds continue to under-perform both the index and conventional peers.

Number of Pages in PDF File: 28

Keywords: Mutual Funds, Performance evaluation, Style Analysis, Ethical Investments,

JEL Classification: G12, G20, G23

working papers series


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Date posted: January 22, 2002  

Suggested Citation

Otten, Rogér, Bauer, Rob and Koedijk, Kees C. G., International Evidence on Ethical Mutual Fund Performance and Investment Style (March 7, 2002). LIFE Working Paper No. 02.59. Available at SSRN: http://ssrn.com/abstract=297882 or http://dx.doi.org/10.2139/ssrn.297882

Contact Information

Rogér Otten (Contact Author)
Maastricht University - Department of Finance ( email )
P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 388 3838 (Phone)
+31 43 388 4875 (Fax)
HOME PAGE: http://www.fdewb.unimaas.nl/finance/faculty/Otten
Philips Pension Fund
Eindhoven
Netherlands
Rob Bauer
Maastricht University ( email )
P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 3883871 (Phone)
Kees G. Koedijk
Tilburg University - Department of Finance ( email )
P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 13 4663048 (Phone)
+31 13 4662052 (Fax)
Feedback to SSRN (Beta)


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