財金系擬於 6/1 (一) 邀請 Rutgers University 的李正福教授至本所進行專題演講，相關訊息如下：
時間: 2015/6/1 (一) 10:30-12:00
講題: The Investment Performance of “Ethical” Equity Mutual Funds in the US: An Empirical Investigation
This paper examines the investment performance of a sample of US ethical equity mutual funds relative to the market and a matching sample of US traditional equity mutual funds using a survivorship-bias-free database. We detect selectivity and market timing performance of fund managers using two alternative models. One model determines these performances from a quadratic regression of fund returns on market returns. Another comprehensive and integrated model to simultaneously capture stock selection and market timing skill of fund managers extracts timing skill from the relationship between managers’ forecast and realized market return. We also consider R2 as a proxy for manager’s selectivity skill as recently proposed in the literature and examine the ability of R2 to predict selectivity in the presence of market timing. Our empirical results indicate that ethical funds perform no worse than their traditional counterparts, although ethical and traditional funds do not outperform the market. We find some evidence of superior security selection and/or market timing skill among a very small number of ethical and traditional funds. It appears that matching traditional funds have slightly more abnormal (superior as well as inferior) performance than ethical funds in our sample. Our results also show that the power of R2 to predict selectivity weakens as the sample becomes disperse with more abnormal performances.