Professor Omneya Abdelsalam o.h.abdelsalam@durham.ac.uk
Professor
Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds
Abdelsalam, O.; Duygun, M.; Matallín, J.C.; Tortosa-Ausina, E.
Authors
M. Duygun
J.C. Matallín
E. Tortosa-Ausina
Abstract
In this paper, we analyze the performance persistence and survivorship bias of Islamic funds. The remarkable growth of these types of ethical funds raises the question of how non-financial attributes, including beliefs and value systems, influence performance and its persistence. A procedure commonly used in prior literature to assess persistence is the measuring of the performance of investment strategies based on past performance. In this context, we propose a refined version of this methodology that controls the cross-sectional significance of the performance of these strategies. This procedure correctly identifies whether abnormal performance is due to a dynamic investment strategy based on past performance, or whether it is obtained by investing in a particular set of mutual funds. The significance of the persistence varies depending on the time horizon (yearly/half-yearly), survivorship, or the tail of the distribution. In particular, we find that persistence only exists for the best funds, whereas for the worst funds, the results are not significant.
Citation
Abdelsalam, O., Duygun, M., Matallín, J., & Tortosa-Ausina, E. (2017). Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds. Journal of Financial Services Research, 51(3), 363-384. https://doi.org/10.1007/s10693-015-0234-x
Journal Article Type | Article |
---|---|
Acceptance Date | Nov 9, 2015 |
Online Publication Date | Dec 1, 2015 |
Publication Date | Jun 1, 2017 |
Deposit Date | Nov 9, 2015 |
Publicly Available Date | Dec 1, 2016 |
Journal | Journal of Financial Services Research |
Print ISSN | 0920-8550 |
Electronic ISSN | 1573-0735 |
Publisher | Springer |
Peer Reviewed | Peer Reviewed |
Volume | 51 |
Issue | 3 |
Pages | 363-384 |
DOI | https://doi.org/10.1007/s10693-015-0234-x |
Public URL | https://durham-repository.worktribe.com/output/1398353 |
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Copyright Statement
The final publication is available at Springer via https://doi.org/10.1007/s10693-015-0234-x
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