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The relationship of fund outflows and negative performance in socially responsible mutual funds : empirical evidence from Norway, Sweden, and Denmark

Nguyen, Thuy Thi Thanh; Brama, Angeliki
Master thesis
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URI
http://hdl.handle.net/11250/2455169
Date
2017
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  • Master Thesis [4207]
Abstract
This study compares the sensitivity of money flows toward past performance between Socially

Responsible (SR) and conventional mutual funds in Norway, Sweden, and Denmark from 2007 to

2016. The data is analyzed using several Ordinary Least Squares (OLS) regressions. We first apply

raw monthly returns and then both raw and risk-adjusted long-term returns as performance

measures. No empirical evidence was found to suggest that SRI outflows are less sensitive to past

negative monthly performance than conventional fund outflows. On the other hand, the empirical

study indicates that SRI inflows are less sensitive to previous positive monthly returns than

conventional inflows. We contribute to the existing mutual fund literature by examining the

relationship of fund flows and past returns in the Scandinavian SR mutual fund industry. We also

contribute to the current literature by applying monthly data and longer returns of 3 years.

Regarding long-term performance, we cannot find any empirical evidence that implies that SRI

money flows are less responsive to past performance than conventional flows. It seems that for

Scandinavian responsible funds the flow-performance relation is not so different than that of

conventional funds, which differs from the results of previous studies.

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