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Journal of Business Ethics

, Volume 124, Issue 4, pp 551–569 | Cite as

Environmental Mutual Funds: Financial Performance and Managerial Abilities

  • Fernando Muñoz
  • Maria Vargas
  • Isabel Marco
Article

Abstract

This article analyzes the financial performance and managerial abilities of a sample of US and European socially responsible (SR) mutual funds. The period analyzed commences from January 1994 and concludes in January 2013 and yields 18 US and 89 European green funds. The results obtained for green fund managers are compared with those achieved for conventional and other forms of SR mutual fund managers. We control for the mutual fund investment objective (distinguishing between domestic and global portfolios) and for the effect of crisis market periods. For US SR funds, partitioning the data into crisis and normal periods reveals that SR funds obtain statistically insignificant performance in crisis periods but underperform relative to the market in normal periods. Furthermore, the findings indicate that green funds do not perform worse than other forms of SR mutual funds. For European SR funds partitioning the data into crisis and normal periods reveals that SR funds obtain statistically insignificant performance irrespective of market conditions. Similar to the US findings, green Europe SR funds do not perform worse than other forms of SR mutual funds. Managerial abilities are not evident in the findings though unsuccessful timing of the market is revealed for both Europe and US global green funds. When analyzing managerial abilities in crisis and non-crisis market periods, US green fund managers achieve better results in crisis market periods and the opposite occurs for green fund managers in European market.

Keywords

Environmental mutual funds Financial performance Green investment Market-timing Stock-picking Style-timing 

Abbreviations

ECB

European Central Bank

ESG

Environmental, Social, and Governance

EU

European Union

Eurosif

The European Sustainable Investment Forum

GW

Gregory and Whittaker (2007)

TM

Treynor and Mazuy (1966)

TNAs

Total net assets

SR

Socially responsible

SRI

Socially responsible investment

US

United States

US SIF

United States Social Investment Forum

JEL Classification

G11 G23 Q56 

Notes

Acknowledgments

The authors would like to express our acknowledgements to Aragon’ Government by the funding received as Public and Official Research Group (GIECOFIN).

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Copyright information

© Springer Science+Business Media Dordrecht 2013

Authors and Affiliations

  1. 1.Centro Universitario de la Defensa de ZaragozaSaragossaSpain
  2. 2.Departamento de Contabilidad y FinanzasUniversidad de ZaragozaSaragossaSpain

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