Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2006"

AuteurK.J. van Dijk
TitelSRI mutual fund performance: the European case.
BegeleiderL. Phalippou
FaculteitFaculteit Economie en Bedrijfskunde
SamenvattingThis paper analyzes the performance and investment style of 186 European SRI mutual funds, relative to a portfolio of conventional mutual funds for the period July 1986 – July 2006. After controlling for size and book to market I find a significant under-performance of the European SRI mutual funds, which is contrasting with evidence from the US. Moreover, after controlling for size, book to market, home bias and bond exposure I find an under-performance for most European countries. The European under-performance is even valid through time. However this under-performance becomes less negative through time, this suggests there’s a learning effect for the European SRI industry.
Soort document scriptie master