Suchergebnisse

AbstractInternationally‐investing Islamic equity funds from developed Islamic and non‐Islamic markets perform in general similar to the market. However, analyzing different market conditions, we provide evidence that funds domiciled in Islamic markets outperform their peers and funds from non‐Islamic markets during market turmoil, irrespective of the applied performance measurement model. We suggest that this outperformance is owed to the expertise of fund managers from developed Islamic markets who operate in a financial environment that is driven by Islamic principles. Our results are robust with respect to the standard Fama‐French three‐factor and four‐factor models as well as to the novel five‐factor model.

Nofsinger and Varma (2014) provide evidence that U.S. socially responsible funds outperform conventional funds during periods of market turmoil and, therefore, grant some crisis insurance. To investigate whether the U.S.-based evidence can be transferred to international markets, the authors analyze a comprehensive sample of internationally-investing socially responsible equity funds in a period from 2000 to 2012. As abnormal returns are model-specific, the authors apply standard and q-theory based performance measurement models. At first glance, the authors observe no crisis protection for internationally-investing socially responsible funds. However, splitting their sample in funds domiciled in North America, Europe, and Asia-Pacific to account for biases due to the origin of a fund, the authors find that socially responsible funds from North America outperform their peers in crisis periods irrespective of the applied performance evaluation model. The authors suggest that the U.S.-based evidence is restricted to internationally-investing funds domiciled in North America, and discover that this outperformance seems to be owed to the stock-picking abilities of North American fund managers and their advantage due to the nature of the North American market.
Keywords: socially responsible investments, mutual funds, international markets, performance evaluation, managerial abilities. JEL Classification: G11, G12, G15, G23, M14