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Typical and Tail Performance of Canadian Equity SRI Mutual Funds.
- Source :
- Journal of Financial Services Research; Aug2016, Vol. 50 Issue 1, p57-94, 38p, 10 Charts, 3 Graphs
- Publication Year :
- 2016
-
Abstract
- While no evidence for timing ability is identified, selection performance before (after) management-related costs for a comprehensive and survivorship-free sample of Canadian equity SRI funds is significantly positive (insignificant) and not statistically different from that for non-SRI funds. Conditioning and multifactor benchmarking improve selection performance. Based on block-bootstrap tests, luck (and not ability), or the lack thereof, is associated with fund membership in the tails of the cross-sectional selection and timing performance distributions. Accounting for the effects of cross-correlations changes inferences about the interpretation of the significance of traditionally calculated t-values. [ABSTRACT FROM AUTHOR]
- Subjects :
- MUTUAL funds
FINANCIAL management
ETHICAL investments
FINANCIAL research
Subjects
Details
- Language :
- English
- ISSN :
- 09208550
- Volume :
- 50
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Journal of Financial Services Research
- Publication Type :
- Academic Journal
- Accession number :
- 116622438
- Full Text :
- https://doi.org/10.1007/s10693-015-0215-0