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On the comparative performance of socially responsible and Islamic mutual funds

Abdelsalam, O.; Duygun Fethi, M.; Matallín, J.C.; Tortosa-Ausina, E.

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Authors

M. Duygun Fethi

J.C. Matallín

E. Tortosa-Ausina



Abstract

This is the first study to provide comprehensive analyses of the relative performance of both socially responsible investment (SRI) and Islamic mutual funds. The analysis proceeds in two stages. In the first, the performance of the two categories of funds is measured using partial frontier methods. In the second stage, we use quantile regression techniques. By combining two variants of the Free Disposal Hull (FDH) methods (order-m and order-α) in the first stage of analysis and quantile regression in the second stage, we provide detailed analyses of the impact of different covariates across methods and across different quantiles. In spite of the differences in the screening criteria and portfolio management of both types of funds, variation in the performance is only found for some of the quantiles of the conditional distribution of mutual fund performance. We established that for the most inefficient funds the superior performance of SRI funds is significant. In contrast, for the best mutual funds this evidence vanished and even Islamic funds perform better than SRI. These results show the benefits of performing the analysis using quantile regression.

Citation

Abdelsalam, O., Duygun Fethi, M., Matallín, J., & Tortosa-Ausina, E. (2014). On the comparative performance of socially responsible and Islamic mutual funds. Journal of Economic Behavior and Organization, 103, S108-S128. https://doi.org/10.1016/j.jebo.2013.06.011

Journal Article Type Article
Acceptance Date Jun 24, 2013
Online Publication Date Jul 10, 2013
Publication Date Jul 1, 2014
Deposit Date Oct 6, 2014
Publicly Available Date Feb 5, 2016
Journal Journal of Economic Behavior and Organization
Print ISSN 0167-2681
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 103
Pages S108-S128
DOI https://doi.org/10.1016/j.jebo.2013.06.011
Keywords Socially responsible funds, Islamic funds, Performance, Quantile regression.
Public URL https://durham-repository.worktribe.com/output/1422634

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