Performance Evaluation of European Green Mutual Funds - Is There an Economic Trade-Off?
Abstract: In this thesis, we investigate the financial performance of European green andconventional mutual equity funds over the 2007 – 2017 period. We applied theCarhart (1997) four-factor model over three different periods, and find evidencethat the risk-adjusted alphas are not statistically different. Furthermore, wecomputed two-sided t-test with Sharpe ratios adjusted for asymmetrical returndistributions and find that the results are consistent. In respect to green funds’investment styles, we find that the funds in our sample are less exposed to smallmarket capitalisation, potentially uncovering different investment styles for variousgreen fund classes. Lastly, we find that there is no statistical difference regardinginvestment styles for the book-to-market and momentum factors.
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