Are socially responsible mutual funds more resilient than conventational funds during the Lehman Brothers collapse?
This paper sheds light on the resilience of Socially Responsible Investment (SRI) funds as compared to conventional funds in U.S. during the Lehman Brothers collapse. Through an event study methodology, our study looks at resilience in terms of performance and fund flows during the financial crisis....
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/51536 |
| _version_ | 1826111465660088320 |
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| author | Sim, King Liang. Tan, Melvin Choon Teng. Cokro, Bernard. |
| author2 | Tham Tze Minn |
| author_facet | Tham Tze Minn Sim, King Liang. Tan, Melvin Choon Teng. Cokro, Bernard. |
| author_sort | Sim, King Liang. |
| collection | NTU |
| description | This paper sheds light on the resilience of Socially Responsible Investment (SRI) funds as compared to conventional funds in U.S. during the Lehman Brothers collapse. Through an event study methodology, our study looks at resilience in terms of performance and fund flows during the financial crisis. Using a sample period of June 2007 to June 2009, our data consists of 37 pairs of SRI funds and conventional funds that are matched based on total net asset, expense ratio and fund age. Our model predicts that SRI funds will have a significant and positive correlation to performance and fund flows as compared to conventional funds. In other words, SRI funds will provide additional protection to investors from market downturns during financial crisis. From our empirical results, there is no significant evidence of SRI funds outperforming conventional funds. However, there is significant evidence that SRI funds contribute to higher fund flows than conventional funds during the 3-month and 6-month periods, before and after the crisis. When resilience is looked upon from the fund flows perspective, inflow to SRI funds sustains the business of the fund companies during a crisis and hence, investors will not lose their investments completely. Pertaining to investors directly, higher fund flows reduce market volatility of SRI funds and this aids recovery after the crisis (Saar, 2001). |
| first_indexed | 2024-10-01T02:51:10Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/51536 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T02:51:10Z |
| publishDate | 2013 |
| record_format | dspace |
| spelling | ntu-10356/515362023-05-19T06:16:16Z Are socially responsible mutual funds more resilient than conventational funds during the Lehman Brothers collapse? Sim, King Liang. Tan, Melvin Choon Teng. Cokro, Bernard. Tham Tze Minn Nanyang Business School DRNTU::Business This paper sheds light on the resilience of Socially Responsible Investment (SRI) funds as compared to conventional funds in U.S. during the Lehman Brothers collapse. Through an event study methodology, our study looks at resilience in terms of performance and fund flows during the financial crisis. Using a sample period of June 2007 to June 2009, our data consists of 37 pairs of SRI funds and conventional funds that are matched based on total net asset, expense ratio and fund age. Our model predicts that SRI funds will have a significant and positive correlation to performance and fund flows as compared to conventional funds. In other words, SRI funds will provide additional protection to investors from market downturns during financial crisis. From our empirical results, there is no significant evidence of SRI funds outperforming conventional funds. However, there is significant evidence that SRI funds contribute to higher fund flows than conventional funds during the 3-month and 6-month periods, before and after the crisis. When resilience is looked upon from the fund flows perspective, inflow to SRI funds sustains the business of the fund companies during a crisis and hence, investors will not lose their investments completely. Pertaining to investors directly, higher fund flows reduce market volatility of SRI funds and this aids recovery after the crisis (Saar, 2001). BUSINESS 2013-04-04T08:05:37Z 2013-04-04T08:05:37Z 2013 2013 Final Year Project (FYP) http://hdl.handle.net/10356/51536 en Nanyang Technological University 64 p. application/pdf |
| spellingShingle | DRNTU::Business Sim, King Liang. Tan, Melvin Choon Teng. Cokro, Bernard. Are socially responsible mutual funds more resilient than conventational funds during the Lehman Brothers collapse? |
| title | Are socially responsible mutual funds more resilient than conventational funds during the Lehman Brothers collapse? |
| title_full | Are socially responsible mutual funds more resilient than conventational funds during the Lehman Brothers collapse? |
| title_fullStr | Are socially responsible mutual funds more resilient than conventational funds during the Lehman Brothers collapse? |
| title_full_unstemmed | Are socially responsible mutual funds more resilient than conventational funds during the Lehman Brothers collapse? |
| title_short | Are socially responsible mutual funds more resilient than conventational funds during the Lehman Brothers collapse? |
| title_sort | are socially responsible mutual funds more resilient than conventational funds during the lehman brothers collapse |
| topic | DRNTU::Business |
| url | http://hdl.handle.net/10356/51536 |
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