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Risk-adjusted Return (risk-adjusted + return)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	75%

Selected Abstracts

Ethical investment and the incentives for corporate environmental protection and social responsibility

CORPORATE SOCIAL RESPONSIBILITY AND ENVIRONMENTAL MANAGEMENT, Issue 4 2003
Iulie Aslaksen
This paper addresses some interrelated questions regarding ethical investments: does ethical screening provide any incentives for improved social responsibility within firms? Are ethical screened portfolios competitive compared with conventional funds with respect to risk-adjusted return? Does the risk-adjusted return of a screened portfolio depend on the screening strategy applied? Considering ethical screening as a kind of segmentation of the equity market, it is shown that screening might create incentives for changes in firms' behaviour. The strength of this incentive depends on the relative share of screened portfolios, which in turn partially depends on the financial performance of the screened portfolios. While some theoretical arguments suggest that screening imposes a handicap compared with conventional portfolios, the empirical evidence does not suggest that screened portfolios systematically under-perform conventional portfolios. Copyright © 2003 John Wiley & Sons, Ltd and ERP Environment. [source]

Is there a Difference?

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 1-2 2007
The Performance Characteristics of SRI Equity Indices
Abstract:, This study analyses whether stock indices that represent socially responsible investments (SRI) exhibit a different performance compared to conventional benchmark indices. In contrast to other studies, the analysis concentrates on SRI indices and not on investment funds. This has several advantages, since transaction costs of funds, the timing activities and the skill of the fund management do not have to be considered. A direct measure of the performance effects of SRI screens is therefore examined. The 29 SRI stock indices are analysed by single-equation models as well as by multi-equation systems that exploit the information in the cross-section. SRI stock indices do not exhibit a different level of risk-adjusted return than conventional benchmarks. But many SRI indices have a higher risk relative to the benchmarks. The findings are robust to the use of different benchmark indices and apply to all common types of SRI screening. [source]

Effects of Market Segmentation and Bank Concentration on Mutual Fund Expenses and Returns: Evidence from Finland

EUROPEAN FINANCIAL MANAGEMENT, Issue 3 2004
Timo P. Korkeamaki
G15; G18; G20 Abstract A tremendous amount of research examines US mutual funds, but fund markets also thrive in other countries. However, research about these fast growing markets is lacking. This study addresses Finnish funds. Fast growth of the Finnish fund industry, strong bank dominance in the industry and recent EU membership make it an interesting market to examine. The Finnish fund market is also of particular interest since it had the fastest growth among the EU countries during 1996,2000. We find evidence that bank-managed and older funds charge higher expenses but investors are not compensated for paying higher expenses with higher risk-adjusted returns, suggesting a potential agency problem. Overall, Finnish fund expenses have decreased over time, consistent with EU membership reducing market segmentation and generating competition. [source]

TRADING-VOLUME SHOCKS AND STOCK RETURNS: AN EMPIRICAL ANALYSIS

THE JOURNAL OF FINANCIAL RESEARCH, Issue 2 2010
Zhaodan Huang
Abstract We examine high-volume premiums based on weekly risk-adjusted returns. Significant average weekly abnormal high-volume premiums up to 0.50% per week are documented for 1962,2005. Most premiums are generated in the first two weeks and monotonically decline as holding periods are extended. Evidence of reversal is found as the holding periods are extended. Premiums depend on realized turnover in the holding period. The last finding supports the theories of Miller and Merton. Finally, we test whether premiums are compensation for taking additional risk. Negative skewness, idiosyncratic risk, and liquidity risk do not explain the high-volume premiums. [source]