Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds
Omneya Abdelsalam (),
Meryem Duygun (),
Juan Carlos Matallín-Sáez () and
Emili Tortosa-Ausina ()
Additional contact information
Omneya Abdelsalam: Durham University Business School
Meryem Duygun: University of Hull
Juan Carlos Matallín-Sáez: Universitat Jaume I
Emili Tortosa-Ausina: Universitat Jaume I and IVIE
Journal of Financial Services Research, 2017, vol. 51, issue 3, 363-384
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.
Keywords: Islamic funds; SRI funds; Performance; Persistence (search for similar items in EconPapers)
JEL-codes: G2 N25 Z12 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s10693-015-0234-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kap:jfsres:v:51:y:2017:i:3:d:10.1007_s10693-015-0234-x
Ordering information: This journal article can be ordered from
Access Statistics for this article
Journal of Financial Services Research is currently edited by Haluk Unal
More articles in Journal of Financial Services Research from Springer, Western Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla ().