Publication
The performance of green funds in the UK
| Summary: | The purpose of this dissertation is to evaluate the performance of UK green funds that invest in the domestic, global and European market by using unconditional and conditional models of performance evaluation. To compare the performance of green funds with conventional funds, we use a matched-pairs analysis, in which each green fund is matched with a portfolio of conventional funds according to several fund characteristics. Thus, performance differences between green and conventional funds cannot be explained by any of these characteristics. Applying the unconditional and conditional Carhart (1997) four-factor model to a dataset including 17 green and 51 conventional funds for the period January 2000 to September 2014, the results show that most funds present neutral performance, although some green funds investing domestically underperform the market. The results are thus consistent with prior research on green funds, such as Climent and Soriano (2011), Muñoz, Vargas and Marco (2014) and Silva and Cortez (2015). We also find that domestic green funds underperform conventional funds in expansion periods. In recession periods, the performance of domestic green funds is not different from that of their conventional peers. In periods of good times, global and European green funds perform similar to global and European conventional funds. In periods of recession, the performance of European green funds improves significantly. |
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| Main Authors: | Moreira, Sara Catarina Carvalho |
| Subject: | Ciências Sociais |
| Year: | 2016 |
| Country: | Portugal |
| Document type: | master thesis |
| Access type: | restricted access |
| Associated institution: | Universidade do Minho |
| Language: | English |
| Origin: | RepositóriUM - Universidade do Minho |
| Summary: | The purpose of this dissertation is to evaluate the performance of UK green funds that invest in the domestic, global and European market by using unconditional and conditional models of performance evaluation. To compare the performance of green funds with conventional funds, we use a matched-pairs analysis, in which each green fund is matched with a portfolio of conventional funds according to several fund characteristics. Thus, performance differences between green and conventional funds cannot be explained by any of these characteristics. Applying the unconditional and conditional Carhart (1997) four-factor model to a dataset including 17 green and 51 conventional funds for the period January 2000 to September 2014, the results show that most funds present neutral performance, although some green funds investing domestically underperform the market. The results are thus consistent with prior research on green funds, such as Climent and Soriano (2011), Muñoz, Vargas and Marco (2014) and Silva and Cortez (2015). We also find that domestic green funds underperform conventional funds in expansion periods. In recession periods, the performance of domestic green funds is not different from that of their conventional peers. In periods of good times, global and European green funds perform similar to global and European conventional funds. In periods of recession, the performance of European green funds improves significantly. |
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