The flow-performance relation of green funds: is there a difference?
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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
26
Series
Abstract
This thesis examines the differences in investor behavior between green, other socially responsible and conventional funds. I use monthly return and total net asset data between 1991 and 2016 to examine the determinants of flow-performance relation of the three fund groups. My findings show that green fund flows are significantly more sensitive to contemporaneous returns than other socially responsible (SRI) fund flows. This difference can also be seen in the convexity of the flow-performance relations as my findings indicate that non-green SRI investors heavily turn their focus to longer-term returns when facing negative short-term performance. This sets them apart from green and conventional investors. Additionally, my results show that ethical investors are more likely to invest in funds they already own. My findings also suggest that green fund investors chase good short-term past returns and are likely to reinvest in their funds but are not as concerned about the long-term performance as conventional investors. Overall, the results reflect the non-financial criteria and the small pool of investment options with similar screening criteria that green and other SRI investors have.Description
Thesis advisor
Rantapuska, EliasKeywords
socially reponsible investing, green funds, flow-performance relation, fund flows