Elizabeth F. Goldreyer, Parvez Ahmed and J. David Diltz
Outlines increased interest from investors in corporate social policies over the last ten years and previous research comparing the investment performance of “socially…
Abstract
Outlines increased interest from investors in corporate social policies over the last ten years and previous research comparing the investment performance of “socially responsible” (SR) portfolios with others. Measures performance for a US sample of SR and conventional mutual funds using a variety of methods (including Jensen’s Alpha, the Sharpe Ratio and the Treynor ratio), analysing the funds by investment strategy, size, systematic risk and the use of inclusion screens. Presents the results, which do not give a clear advantage to either group, but show that funds with inclusion screens consistently outperform those without. Calls for further research on the relationship between corporate social performance and portfolio performance and comparisons between SR and conventional funds.
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Many states still limit or prohibit commercial bank branching. In addition, the McFadden Act prevents banks from branching across state lines. It has been suggested that…
Abstract
Many states still limit or prohibit commercial bank branching. In addition, the McFadden Act prevents banks from branching across state lines. It has been suggested that anti‐branching laws inhibit competition in the banking industry. This follows from the notion that bank markets are localized, and that anti‐branching laws prevent banks from penetrating local markets adjacent to their main offices. Two interesting hypotheses arise from this conjecture. First, do banks operating in unit‐banking states have a profit advantage over their counterparts in states that allow state‐wide branching? And second, is there any significant difference in profitability between banks in limited‐branching states and banks in state‐branching states? In other words, are there diminishing returns to branching deregulation? Research reported in this paper answers these questions.
Keming Li, Mohammad Riaz Uddin and J. David Diltz
Prior research has documented the role of information uncertainty in the cross-sectional variation in stock returns. Miller (1977) hypothesizes that if information uncertainty is…
Abstract
Purpose
Prior research has documented the role of information uncertainty in the cross-sectional variation in stock returns. Miller (1977) hypothesizes that if information uncertainty is caused by differences of opinion, prices will reflect only the positive beliefs due to short-sale constraints. These anomalous stock price behaviors may result from mispricing. In contrast, Merton (1974) asserts that default risk is a function of the uncertainty in the asset value process. Information uncertainty may be subsumed by credit or default risk. The paper aims to discuss these issues.
Design/methodology/approach
The authors employ various sorting techniques and Fama-MacBeth Regressions to test the hypotheses.
Findings
The authors provide empirical evidence consistent with Merton’s (1974) default risk hypothesis and inconsistent with Miller’s (1977) mispricing hypothesis.
Research limitations/implications
Risk aversion and not misplacing is the primary factor driving information-related anomalies in equities markets.
Practical implications
It would be quite difficult to find arbitrage opportunities in equities markets because there appears to be little, if any, mis-pricing due to information uncertainties.
Originality/value
This study provides important information about the primary underlying information-related source of certain empirical anomalies in the cross-section of stock returns.
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Esther Castro, M. Kabir Hassan, Jose Francisco Rubio and Zairihan Abdul Halim
This paper updates the literature regarding the performance of constrained US mutual funds by looking at the relative performance of Christian mutual funds, socially responsible…
Abstract
Purpose
This paper updates the literature regarding the performance of constrained US mutual funds by looking at the relative performance of Christian mutual funds, socially responsible funds and Islamic funds. This paper aims to rank the performance of religious and ethical investment funds.
Design/methodology/approach
This study uses monthly returns from 2005 to 2015 to perform traditional asset pricing models as well as data envelopment analysis to determine rank.
Findings
Islamic mutual funds outperform socially responsible funds, which then outperform Christian-based mutual funds; these results are also consistent during the latest 2007-2008 crisis period. The results are robust to different performance metrics and benchmarks. Moreover, this paper reports a significant amount of money “left on the table” by investing in constraint funds and disregarding the sin industry which shows an ethical dilemma for investors.
Practical implications
Investors who seek to invest morally/ethically can be informed of the cost of doing so. They can also compare portfolio with others that have similar holdings and constraints.
Originality/value
This paper not only includes Christian mutual funds in the research but also provides the performance of all constrained assets. It also compares religious funds with “SIN” industry, and thus quantifies the cost of “doing right.”
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Renu Jonwall, Seema Gupta and Shuchi Pahuja
Socially responsible investment (SRI) is a niche and upcoming investment strategy in India. Very few researches have been conducted on SRI in the Indian context. This study…
Abstract
Purpose
Socially responsible investment (SRI) is a niche and upcoming investment strategy in India. Very few researches have been conducted on SRI in the Indian context. This study identifies the SRI awareness level, attitude towards the importance of environmental, social, and governance (ESG) issues, willingness to invest in SRI avenues and obstacles in SRI investment decision-making by Indian retail investors. The second objective was among the awareness, attitude, willingness, obstacle, and demographic constructs to identify the most significant variables that impact an individual investor's SRI decision in India. .
Design/methodology/approach
Data for the study have been collected through a self-structured questionnaire. Descriptive statistics are used to identify the importance of variables for individual investors. This paper used the theory of planned behavior (TPB) to understand the factors impacting individual investors' SRI behavior. Binary logistics regression analysis is used to recognize the variables that affect an individual investor's SRI decision.
Findings
The descriptive statistics indicate a low level of SRI awareness; the majority of the investors agreed that ESG issues are significant in investing and showed a willingness to invest in SRI avenues. However, the investors were not willing to accept lower returns from SRI. The majority of investors found, lower returns on SRIs, no tax benefit, lack of information about SRIs, and low liquidity as important obstacles in SRI investing. Binary logistics regression results indicated that awareness about SR/ESG indices, awareness about SR/ESG funds, and willingness to invest in SRI avenues significantly impact investors' SRI decisions but demographic variables have no significant impact on SRI decision-making.
Practical implications
This study has implications for the ethical/SR mutual funds managers, policymakers, government, and international asset management companies. The study finds an urgent need for increasing awareness about SRI among individual investors in India. The study suggests that the issuers must provide adequate information about SRI avenues and probable risk and returns involved in these, while the regulators must make efforts to educate investors in India.
Originality/value
The context of the present study is original because hardly any of the earlier studies conducted in India have tried to find out the individual investors' SRI awareness level, investors' willingness towards SRI, investors' attitude towards ESG issues, and obstacles faced by investors in socially responsible investing.
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Pooja Mehta, Manjit Singh and Manju Mittal
The purpose of this paper is to critically examine the existing literature on sustainable investments and propose an integrated conceptual framework for measuring socially…
Abstract
Purpose
The purpose of this paper is to critically examine the existing literature on sustainable investments and propose an integrated conceptual framework for measuring socially responsible investment intention of investors.
Design/methodology/approach
Based on the theory of planned behaviour, the study discusses an integrated conceptual framework by thoroughly analysing the empirical studies of last 18 years, from 2001 to 2018. Some of the important measures of these studies have been reviewed, such as country of study, research methodology applied, sample size and respondents selected, model/theory applied, variables selected and significant findings of the study.
Findings
The study posits that collectivism, knowledge about sustainable investment, pro-environmental attitude and perceived risk will have a positive impact on attitude (ATT) towards SRI. Moreover, attitude (ATT) and subjective norms (SN) will be positively related to intention (INT) along with the mediating effect of social investing efficacy (SIE) and moderating effects of religiosity beliefs.
Practical implications
Besides implications for financial managers, various government bodies, prospective investors and other stakeholders, the study will provide impetus to companies for designing more sustainable funds that can promulgate the values and beliefs of investors.
Originality/value
The study incrementally contributes to the literature by way of suggesting a conceptual framework that can be empirically tested by future researchers.
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H. Kent Baker, Satish Kumar and Nitesh Pandey
Managerial finance (MF) started publication in 1975 and celebrated its 45th anniversary in 2019. The purpose of this study is to provide a bibliometric analysis of MF between 1996…
Abstract
Purpose
Managerial finance (MF) started publication in 1975 and celebrated its 45th anniversary in 2019. The purpose of this study is to provide a bibliometric analysis of MF between 1996 and 2019.
Design/methodology/approach
This study uses the Scopus database to analyze the most frequent authors in MF along with their affiliated institutions and countries. It also identifies the most often cited MF articles. This study uses bibliometric indicators to analyze productivity and stature of MF. It also uses such tools as bibliographic coupling, keyword analysis and coauthorship analysis to analyze MF. Further, the study provides a temporal analysis of MF publishing across different ownership periods.
Findings
MF publishes between 60 and 70 articles each year and its number of citations steadily grows. Although contributors to the journal come from around the globe, they most often are affiliated with the United States, the United Kingdom and Greece. Temporal analysis of journal's themes reveals that it has expanded its scope from accounting research to a much wider array of finance topics. Bibliographic coupling network analysis shows that major themes published in MF involve stock markets, corporate governance, banking, financial decision-making and initial public offerings.
Research limitations/implications
Due to the unavailability of bibliometric data, the analysis excludes an analysis of MF between 1975 and 1995.
Originality/value
This study provides the first overview of the MF's publication and citation trends as well as its thematic structure. It also suggests future directions that the journal might take.
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Although there are theoretical costs and benefits to corporate diversification, there is ample empirical evidence that the stock market views the costs to outweigh the benefits…
Abstract
Although there are theoretical costs and benefits to corporate diversification, there is ample empirical evidence that the stock market views the costs to outweigh the benefits (Lang and Stulz (1994), Berger and Ofek (1995), Servaes (1996), etc.) These studies are cross‐sectional studies which compare diversified firms to specialized firms and examine valuation multiples. The studies find that diversified firms have lower valuation multiples than specialized firms. This is called the diversification discount. In this paper, a sample of U.S. firms which are specialized and then become diversified are examined. We do not find evidence of a long‐term reduction in firm value associated with diversification.
Alper Gormus, John David Diltz and Ugur Soytas
The purpose of this paper is to examine the price level and volatility impacts of oil prices on energy mutual funds (EMFs). The authors also examine specific fund characteristics…
Abstract
Purpose
The purpose of this paper is to examine the price level and volatility impacts of oil prices on energy mutual funds (EMFs). The authors also examine specific fund characteristics which might influence those interactions.
Design/methodology/approach
The authors test for volatility transmission between the oil prices and the funds in the sample. Later, the authors test to see which fund characteristics impact these volatility interactions.
Findings
The results show oil price movements lead majority of sample EMFs. The authors also find a volatility feedback relationship with most of the sample. Furthermore, the authors show the fund characteristics to be important indicators of these interactions. Morningstar rating, market capitalization and management tenure are found to be significant drivers of the relationships between EMFs and oil prices.
Originality/value
To the knowledge, there is not a study in literature which examines these relationships.