dc.contributor.author | Yu, Wenshuang | |
dc.date.accessioned | 2013-12-17T13:23:00Z | |
dc.date.available | 2013-12-17T13:23:00Z | |
dc.date.issued | 2013-12-17 | |
dc.identifier.uri | http://hdl.handle.net/10222/42705 | |
dc.description.abstract | In this thesis, the regime dependent mean and abnormal returns are studied to examine whether socially responsible mutual funds have a different performance from traditional mutual funds, since there may be different patterns in the economy. Five economic factors - stock returns, treasury yield spread, credit spread, economic confidence and building permits - are used to identify the market regimes, which are determined as bear and bull markets. The regime-dependent abnormal returns are calculated with a regime-switching Fama & French three factor asset-pricing model. The empirical results show that socially responsible mutual funds have statistically higher mean return than non-socially responsible mutual funds in both bear and bull markets. However, using the measurement of the abnormal returns, socially responsible mutual funds statistically underperform non-socially responsible mutual funds in bull market, while the performance of the two types of funds are not statistically differentiable in the bear market. | en_US |
dc.language.iso | en | en_US |
dc.subject | Socially Responsible Mutual Funds | en_US |
dc.subject | Non-Socially Responsible Mutual Funds | en_US |
dc.subject | Regime-Switching Model | en_US |
dc.title | Do Socially Responsible Mutual Funds Outperform Non-Socially Responsible Mutual Funds under A Regime-Switching Model? | en_US |
dc.date.defence | 2013-12-10 | |
dc.contributor.department | Department of Economics | en_US |
dc.contributor.degree | Master of Arts | en_US |
dc.contributor.external-examiner | N/A | en_US |
dc.contributor.graduate-coordinator | Peter Burton | en_US |
dc.contributor.thesis-reader | Kuan Xu | en_US |
dc.contributor.thesis-supervisor | Yonggan Zhao; Iraj Fooladi | en_US |
dc.contributor.ethics-approval | Not Applicable | en_US |
dc.contributor.manuscripts | No | en_US |
dc.contributor.copyright-release | Not Applicable | en_US |