C. Edward Chang, Thomas M. Krueger and H. Doug Witte
The purpose of this paper is to examine the operating characteristics as well as risk and performance measures of all available self-proclaimed socially responsible funds…
Abstract
Purpose
The purpose of this paper is to examine the operating characteristics as well as risk and performance measures of all available self-proclaimed socially responsible funds (hereafter SRFs) in the USA over the ten-year (2007–2016) period. The first research question addressed is: Do SRFs perform as well as the average of all mutual funds in their respective categories? The second research question addressed is: Are SRF expense ratios correlated with fund performance?
Design/methodology/approach
This study analyzes all socially responsible equity mutual funds, as self-reported to Morningstar. This paper empirically compares operating characteristics and performance measures of SRFs relative to category averages in the US mutual fund industry. Operating characteristics include expense ratios and annual turnover rates. Performance measures include conventional return, risk and risk-adjusted return measures.
Findings
Although prior research suggests that socially responsible investing (SRI) indexes and SRI-friendly stocks have favorable returns, this study finds that these self-proclaimed SRFs underperform the average of all mutual funds in matched equity categories. However, this study demonstrates that a simple filter based on expense ratios can identify those SRFs that will enable investors to do quite well while doing good.
Originality/value
The contribution of this paper is twofold. First, the authors report that self-proclaimed SRFs, as a whole, have not generated competitive returns relative to other mutual funds in the same categories over the past ten years. This result contradicts the notion that socially responsible investors do not give up return performance when investing with their conscience. Second, the authors find that those SRFs with expense ratios in the lowest quartile of their respective category have significantly higher risk-adjusted returns and significantly lower turnover than category averages. Thus, by focusing on SRFs with low-expense ratios, socially responsible investors can do quite well while doing good.
Details
Keywords
C. Edward Chang and H. Doug Witte
Do socially responsible funds, as a whole, perform as well as the average of all mutual funds in their respective categories? This paper examines fund characteristics as well as…
Abstract
Do socially responsible funds, as a whole, perform as well as the average of all mutual funds in their respective categories? This paper examines fund characteristics as well as risk and performance measures of all available socially responsible funds (SRFs) in the U.S. mutual fund industry over the last fifteen years. The contribution of this paper is two unique findings. First, although SRFs have had a relative advantage in terms of lower expense ratios, lower annual turnover rates, lower tax cost ratios, and lower risk, SRFs also exhibit lower returns, and two risk‐adjusted return measures indicate SRFs have inferior reward‐to‐risk performance. In particular, domestic stock SRFs have not generated competitive returns relative to conventional funds in the same categories over the past ten to fifteen years. These results contrast those found in the extant SRI literature which suggest socially responsible investing has little or no cost. Second, a finer partitioning by fund type reveals not all SRFs have similar relative performance. SRFs in balanced fund and fixed‐income fund categories, especially during the past three years, have performed better than the category averages with lower risk, higher returns, and higher risk‐adjusted returns. This suggests the costs of socially responsible investing are not homogenous.
Details
Keywords
C. Edward Chang, Fayez A. Elayan and Chwo‐Ming Joseph Yu
This study provides a comparison of cost efficiency between foreign‐owned multinational banks operating in the U.S. and U.S.‐owned multinational banks in their production of…
Abstract
This study provides a comparison of cost efficiency between foreign‐owned multinational banks operating in the U.S. and U.S.‐owned multinational banks in their production of banking services from 1984 to 1989. The results indicate that foreign‐owned multinational banks operating in the U.S. did not have comparative cost advantage over U.S.‐owned multinational banks.
C. Edward Chang, Thomas M. Krueger and H. Doug Witte
For a number of reasons ranging from their more recent introduction to their perceived lesser excitement relative to stock-based peers, there have been few studies of fixed income…
Abstract
Purpose
For a number of reasons ranging from their more recent introduction to their perceived lesser excitement relative to stock-based peers, there have been few studies of fixed income (mainly bond) exchange-traded funds (ETFs). The purpose of this paper is to fill the void by comparing performance measures of fixed income ETFs to fixed income closed-end funds (CEFs).
Design/methodology/approach
This paper examines operating characteristics as well as risk and performance measures of all available fixed income ETFs and CEFs in the USA over the last five and ten years ending on December 31, 2014. Operating characteristics include expense ratios, annual turnover rates, tax cost ratios, and tracking error ratios. Performance measures include average annual returns, risks (measured by standard deviations), and risk-adjusted returns (measured by Sharpe ratios and Sortino ratios).
Findings
This study finds material and significant difference in a variety of expenses, return measures, and risk measures. Sharpe and Sortino ratio significance is highly dependent on whether net asset values or market values serve as the dependent variable. ETFs would be the preferred choice of fixed income investors who are presumed to be focussing on market-based return measures.
Originality/value
This paper empirically compares operating characteristics as well as risk and performance measures of US fixed income ETFs and fixed income CEFs in the same Morningstar categories over the last five and ten years.
Details
Keywords
C. Edward Chang and Thomas M. Krueger
The purpose of this paper is to examine operating characteristics, risk and performance measures of all available vehicles for index investing in US bond funds during the 15‐year…
Abstract
Purpose
The purpose of this paper is to examine operating characteristics, risk and performance measures of all available vehicles for index investing in US bond funds during the 15‐year period from April, 1994 to March, 2009. The results shed light on the important issue of bond index mutual funds (BIMFs) and bond exchange‐traded funds (BETFs) performance compared with average of all bond mutual funds.
Design/methodology/approach
Data were obtained from Morningstar Principia. Operating characteristics include expense ratios, annual turnover rates, and tax cost ratios. Performance measures include average annual returns and return percentile rank in category, risks (measured by standard deviation) and risk‐adjusted returns (measured by the Sharpe ratio).
Findings
BIMFs and BETFs have significantly lower expense ratios and annual turnover rates than category averages. Their returns and risk‐adjusted returns are significantly higher than bond category averages.
Research limitations/implications
Future studies will be able to benefit from a larger sample size, longer performance records, and the strength of bond index funds in foreign markets.
Practical implications
Both BIMFs and bond exchange‐traded mutual funds have significantly lower expense and annual turnover rates, making them preferred investment choices.
Social implications
Efforts by active bond mutual fund managers to beat index benchmarks have largely failed. Investors should be wary of bond mutual fund managers touting their ability to beat the average or a bond index.
Originality/value
The advantage of investment in BIMFs and BETFs is clear.
Details
Keywords
C. Edward Chang, Walt A. Nelson and H. Doug Witte
The purpose of this paper is to compare the financial performance of green and traditional mutual funds in the USA.
Abstract
Purpose
The purpose of this paper is to compare the financial performance of green and traditional mutual funds in the USA.
Design/methodology/approach
A total of 131 green mutual funds identified by US SIF, were compared with the averages of all traditional mutual funds in their respective Morningstar categories. Performance measures analyzed included annualized rates of return, expense ratios, and Sharpe ratios, among others. Most data pertained to at least the past three years, while other data pertained to the most recent 5 to 15 years.
Findings
The results demonstrate that green mutual funds have generated lower returns and similar risks compared to traditional mutual funds in their respective Morningstar categories. Green mutual funds have underperformed on a risk‐adjusted basis.
Research limitations/implications
Since there is no formal definition of a green mutual fund, the researcher and investor must make a subjective call in assessing which funds invest “green”. However, at least in this early stage in the history of green investing, green mutual funds have underperformed their peers.
Originality/value
Results confirm the limitations of green investing as suggested by various researchers, among them Sharpe, Rudd and Kurtz and DiBartolomeo. Results stand in contrast to Corson and Van Dyck and Statman, among others, which reported no significant underperformance for socially responsible investments.
Details
Keywords
The purpose of this paper is to examine bank performance using the different performance measures, namely, return on assets, return on equity and bank margins (MAR).
Abstract
Purpose
The purpose of this paper is to examine bank performance using the different performance measures, namely, return on assets, return on equity and bank margins (MAR).
Design/methodology/approach
Unbalanced panel data were constructed to test the related hypotheses and provide evidence on the relationship between ownership types, banking models and performance indicators adopting the random effects techniques.
Findings
The findings of the paper substantiate that the banking models are significant performance indicators. However, the results are contingent on the GDP growth of the country. Moreover, the evidence indicates that the impact of ownership types is inconclusive in all measures of performance. However, the GDP is significant when it interacts with the types of ownership, particularly for foreign and government banks, although the evidence is mixed and unfavourable for government banks.
Practical implications
The results of the study provide insights for bankers and policymakers to enhancement Yemen’s banking sector.
Originality/value
This study is considered as the first attempt in examining the role of banking model and ownership type and their link to banking model.
Details
Keywords
Galit Meisler, Eran Vigoda-Gadot and Amos Drory
This chapter builds on previous research that conceptualized organizational politics as an organizational stressor. After reviewing the studies that integrated the occupational…
Abstract
This chapter builds on previous research that conceptualized organizational politics as an organizational stressor. After reviewing the studies that integrated the occupational stress literature with the organizational politics literature, it discusses the negative implications of the use of intimidation and pressure by supervisors, implications that have generally been overlooked. Specifically, the chapter presents a conceptual model positing that the use of intimidation and pressure by supervisors creates stress in their subordinates. This stress, in turn, affects subordinates’ well-being, evident in higher levels of job dissatisfaction, job burnout, and turnover intentions. The stress also reduces the effectiveness of the organization, reflected in a high absenteeism rate, poorer task performance, and a decline in organizational citizenship behavior. The model also maintains that individual differences in emotional intelligence and political skill mitigate the stress experienced by subordinates, resulting from the use of intimidation and pressure by their supervisors. In acknowledging the destructive implications of such behavior in terms of employees’ well-being and the productivity of the organization, the chapter raises doubts about the wisdom of using it, and advises supervisors to rethink its use as a motivational tool. Implications of this chapter, as well as future research directions, are discussed.