The conditional performance of US mutual funds over different market regimes : do different types of ethical screens matter?

We investigate the performance of US mutual funds that employ different ethical criteria: religious, socially responsible, and irresponsible. Performance is evaluated over different market regimes using a Markov-switching conditional CAPM approach that endogenously defines different states of the ma...

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Bibliographic Details
Main Author: Areal, Nelson (author)
Other Authors: Cortez, Maria do Céu (author), Silva, Florinda (author)
Format: article
Language:eng
Published: 2013
Subjects:
Socially responsible mutual funds
Vice fund
Fund performance evaluation
Market regimes
Markov-switching conditional models
Social Sciences
Online Access:http://hdl.handle.net/1822/26931
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/26931

Internet

http://hdl.handle.net/1822/26931

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