Professor Emili Tortosa Ausina (Universitat Jaume, Spain): Ethical Strategy Focus and Mutual Fund Management: Performance and Persistence
The aim of this study is comparing the performance of socially responsible (SR) mutual lfunds according their ethical strategy focus: Environmental, Social and Governance (ESG), environmental, religious and undefined.
For a sample of 1,587 SR mutual funds around the world, performance is measured using a multifactor model that incorporates relevant benchmarks according mutual fund investment objectives. In general performance is not significant and average is negative and closes to zero. Early evidence comparing averages suggests that ESG outperform their environmental peers but a deeper analysis of densities reveals an asymmetry in performance distribution, in such way that only worst environmental underperform ESG funds.This evidence is supported by persistence analysis—i.e., whether the best (worst) funds are past winners (losers) as well—since that results show that investing in the best past environmental funds yields superior performance than investing in the best past ESG funds. It indicates the relevance of the role of managers of the environmental funds due to their more specific investment restrictions and the recently adverse context of the green sector. Therefore, the effect of ethical strategy focus seems to be more strongly related to the active management of the fund rather than the type of investment.
Emili Tortosa-Ausina is Professor of Economics at Universitat Jaume I (Spain) and associate researcher at the Ivie (Valencian Institute for Economic Research). He has also held positions at the University of Alicante (Spain), and has visited the Autonomous University of Barcelona (2001-2002), University of New South Wales (Sydney, Australia, 2002), Oregon State University (Oregon, USA, 2004-2005), Universidad Diego Portales (Santiago de Chile, Chile, 2008, 2012, 2013), University of Leicester (Leicester, UK, 2012, 2015), Reitaku University (Kashiwa, Japan, 2013) and Bangor Business School (Bangor, UK, 2016). He has also been visiting fellow at the El Shaarani Research Centre for Islamic Business and Finance (EIBF, Aston Business School, Birmingham, UK, 2013-2015). Most of his research has been undertaken in the framework of various research projects funded by institutions such as the Spanish Ministry of Science and Education, the Valencian Regional Government, the National Fund for Scientific and Technological Development of Chile, the Inter-American Development Bank (IDB), or the El Shaarani Research Centre for Islamic Business and Finance, among other prestigious institutions, and has been or is the lead researcher of several of these projects. He has published several articles in world leading academic journals including European Economic Review, Journal of Economic Behavior and Organization, Journal of Banking and Finance, Journal of Financial Services Research,World Development, Economic Geography, OMEGA, European Journal of Political Economy, European Journal of Operational Research, Journal of Regional Science, Economics Letters, Journal of Productivity Analysis, Regional Studies,Journal of Applied Statistics, International Public Management Journal, Local Government Studies,Applied Energy, Spatial Economic Analysis, Empirical Economics, Economics of Education Review, Growth and Change, Computers and Operations Research, Applied Economics Letters, Journal of Policy Modeling, Papers in Regional Science, Studies in Nonliear Dynamics and Econometrics, Environment and Planning A, Journal of the Operational Research Society, Annals of Regional Science, Manchester School, Journal of Economics and Business, Review of Industrial Organization, Applied Financial Economics, Applied Economics, among others.
Seminar organised by the Centre for Ethical Finance Accountability & Governance Research Seminar (EEFAG).