Financial Performance of Green Mutual Funds in the US - Does Environmental Screening Affect Returns?
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School of Business |
Bachelor's thesis
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Authors
Date
2017
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
20
Series
Abstract
This thesis studies the financial performance of environmental mutual funds relative to their socially responsible investing (SRI) and conventional peers. My analysis stems from CAPM-based methodology, and I apply the Carhart (1995) multi-factor model to examine the expected returns. My empirical results show, that environmental screening of stocks doesn’t have negative effect on risk-adjusted returns, and the performance of green mutual funds has been consistent with their conventional peers. On a more recent period, green mutual funds are even outperforming SRI mutual funds.Description
Thesis advisor
Shin, SeanKeywords
green mutual funds, socially responsible investments, fund performance, environmental investing