Fund Performance and Social Responsibility: New Evidence using Social Active Share and Social Tracking Error
with Sadok El Ghoul (Revise & Resubmit at the Journal of Banking and Finance) Download
We examine the effects of socially responsible investing (SRI) on mutual fund performance. We use two proxies of deviation from SRI: social active share (SAS) and social tracking error (STE) which, respectively, capture the differences in holdings and returns between a fund and a socially responsible index, namely the MSCI KLD 400. Using a sample of 2516 U.S. mutual funds over the period 2010-2017, our univariate analysis shows that less socially responsible funds do not outperform more socially responsible funds. The multivariate analysis shows, however, some evidence that more socially responsible funds display higher risk-adjusted performance than their less socially responsible peers. Our results are consistent with the hypothesis that SRI does not significantly damage fund performance.
Fund Names vs. Family Names: Implications for Mutual Fund Flows
with Sadok El Ghoul, (Revise & Resubmit at the Financial Review, 2nd round) Download
To be presented at the Eastern Finance Association Meeting (2021)
An emerging literature has shown that investors are sensitive to mutual fund names. Using a sample of US equity funds over the period 1993-2017, we provide evidence that funds with a name closer to the family’s name attract more flows and display a stronger performance-flow relationship. We also find that retail investors, in comparison to institutional investors, are more affected by this name bias. Our results are in line with the literature on social biases and costly searches and show that seemingly innocuous differences in fund attributes – such as fund names – translate into significant differences in investor decisions.
Systematic ESG Risk and Stock Returns: Evidence from the United States during the 1991-2019 Period
with Duc Khuong Nguyen (Revise & Resubmit at Business Ethics, the Environment & Responsibility, 2nd round ) Download
The Green and Brown Performances of Mutual Fund Portfolios
with Sadok El Ghoul, Saurin Patel, and Srikanth Ramani (Submitted) Download
To be presented at the SFG2021 - Sustainable Finance and Governance workshop