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Journal of Financial Services Research

Erschienen in:

01.12.2015

Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds

verfasst von: Omneya Abdelsalam, Meryem Duygun, Juan Carlos Matallín-Sáez, Emili Tortosa-Ausina

Erschienen in: Journal of Financial Services Research | Ausgabe 3/2017

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Abstract

In this paper, we analyze the performance persistence and survivorship bias of Islamic funds. The remarkable growth of these types of ethical funds raises the question of how non-financial attributes, including beliefs and value systems, influence performance and its persistence. A procedure commonly used in prior literature to assess persistence is the measuring of the performance of investment strategies based on past performance. In this context, we propose a refined version of this methodology that controls the cross-sectional significance of the performance of these strategies. This procedure correctly identifies whether abnormal performance is due to a dynamic investment strategy based on past performance, or whether it is obtained by investing in a particular set of mutual funds. The significance of the persistence varies depending on the time horizon (yearly/half-yearly), survivorship, or the tail of the distribution. In particular, we find that persistence only exists for the best funds, whereas for the worst funds, the results are not significant.

Vorheriger Artikel Debt Restructuring and the Role of Banks’ Organizational Structure and Lending Technologies

Nächster Artikel Bid-Ask Spread, Quoted Depths, and Unexpected Duration Between Trades

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Titel: Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds
verfasst von: Omneya Abdelsalam
Meryem Duygun
Juan Carlos Matallín-Sáez
Emili Tortosa-Ausina
Publikationsdatum: 01.12.2015
Verlag: Springer US
Erschienen in: Journal of Financial Services Research / Ausgabe 3/2017
Print ISSN: 0920-8550
Elektronische ISSN: 1573-0735
DOI: https://doi.org/10.1007/s10693-015-0234-x

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