Do German Green Mutual Funds Perform Better Than Their Peers?

Manuel Salazar Fernández, Ahmad Abu-Alkheil and Ghadeer M. Khartabiel
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Manuel Salazar Fernández: Deloitte & Master Candidate, Fachbereich Wirtschaft, Hochschule Fulda–University of Applied Sciences
Ahmad Abu-Alkheil: German Jordanian University
Ghadeer M. Khartabiel: Universiti Malaysia Perlis, School of Business Innovation & Technopreneurship

Business and Economics Research Journal, 2019, vol. 10, issue 2, 297-312

Abstract: Due to current environment awareness, there has been an increase in investment opportunities concerning mutual funds with a focus on environmental issues. This paper analyzes the performance and risk sensitivities of German green mutual funds in comparison with their German socially responsible investment (SRI) and conventional peers. We also evaluate the results of the German green mutual funds in different market conditions. Because of this, we use and compare this performance during three periods, differentiating crises and non-crisis periods. In order to implement this analysis, we apply a CAPM-1 factor and a Carhart 4-factor methodology and find that in the full sample period 2007–2018 period, environmental funds had lower performance than conventional funds and SRI funds with similar characteristics. However, if we focus on crisis and non-crisis periods, the results change. During the financial crisis (2007–2009), green funds achieved adjusted returns slightly better than their peers; in the Eurozone sovereign debt crisis (2010-2012), the results are again similar to the results from the full sample period. And during the non-crisis period, they are not significantly different from conventional mutual funds, but they perform better than SRI mutual funds.

Keywords: Environmental Mutual Funds; SRI Funds; Conventional Funds; Performance Evaluation; Crises/Non-Crises Periods (search for similar items in EconPapers)
JEL-codes: F30 G11 G15 G23 M14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (4)

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