Performance Persistence of Socially Responsible Investment Funds in the Asia Pacific Region

Hooi Hooi Lean; Wei Rong Ang; Russell Smyth

doi:10.1016/B978-0-12-800986-4.00020-0

Performance Persistence of Socially Responsible Investment Funds in the Asia Pacific Region

Hooi Hooi Lean, Wei Rong Ang, Russell Smyth

Department of Economics

Research output: Chapter in Book/Report/Conference proceeding › Chapter (Book) › Research › peer-review

10 Citations (Scopus)

Abstract

We test for performance persistence of Socially Responsible Investment (SRI) funds in the Asia Pacific using the ranked portfolio approach and contingency tables. Overall, we find very little evidence of performance persistence. Our results are consistent with the weak form of the Efficient Market Hypothesis. From a practical perspective, our findings suggest that past performance is not a good guide to making investment decisions with respect to SRI funds and that investors can just as well engage in passive asset management, subject to dealing with agency problems.

Original language	English
Title of host publication	Handbook of Asian Finance: REITs, Trading, and Fund Performance
Editors	David Lee Kuo Chuen, Greg N. Gregoriou
Place of Publication	San Diego CA USA
Publisher	Elsevier
Pages	377-392
Number of pages	16
Volume	2
ISBN (Electronic)	9780128010631
ISBN (Print)	9780128009864
DOIs	https://doi.org/10.1016/B978-0-12-800986-4.00020-0
Publication status	Published - 28 May 2014

Keywords

Asia pacific
Efficient market hypothesis
Investment decision
Performance persistence
Socially responsible investment

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10.1016/B978-0-12-800986-4.00020-0

Cite this

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abstract = "We test for performance persistence of Socially Responsible Investment (SRI) funds in the Asia Pacific using the ranked portfolio approach and contingency tables. Overall, we find very little evidence of performance persistence. Our results are consistent with the weak form of the Efficient Market Hypothesis. From a practical perspective, our findings suggest that past performance is not a good guide to making investment decisions with respect to SRI funds and that investors can just as well engage in passive asset management, subject to dealing with agency problems.",

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Performance Persistence of Socially Responsible Investment Funds in the Asia Pacific Region. / Lean, Hooi Hooi; Ang, Wei Rong; Smyth, Russell.
Handbook of Asian Finance: REITs, Trading, and Fund Performance. ed. / David Lee Kuo Chuen; Greg N. Gregoriou. Vol. 2 San Diego CA USA: Elsevier, 2014. p. 377-392.

Research output: Chapter in Book/Report/Conference proceeding › Chapter (Book) › Research › peer-review

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N2 - We test for performance persistence of Socially Responsible Investment (SRI) funds in the Asia Pacific using the ranked portfolio approach and contingency tables. Overall, we find very little evidence of performance persistence. Our results are consistent with the weak form of the Efficient Market Hypothesis. From a practical perspective, our findings suggest that past performance is not a good guide to making investment decisions with respect to SRI funds and that investors can just as well engage in passive asset management, subject to dealing with agency problems.

AB - We test for performance persistence of Socially Responsible Investment (SRI) funds in the Asia Pacific using the ranked portfolio approach and contingency tables. Overall, we find very little evidence of performance persistence. Our results are consistent with the weak form of the Efficient Market Hypothesis. From a practical perspective, our findings suggest that past performance is not a good guide to making investment decisions with respect to SRI funds and that investors can just as well engage in passive asset management, subject to dealing with agency problems.

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Performance Persistence of Socially Responsible Investment Funds in the Asia Pacific Region

Abstract

Keywords

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