Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia


ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2016.4.82/2-43
CC BY-SA   Open Access 

Issue archive / 4/2016
The Effect of New Socially Responsible Investment Funds in Poland

Authors: Paweł Jamróz
Keywords: new funds effect socially responsible investing investment funds
Data publikacji całości:2016
Page range:12 (495-506)
Cited-by (Crossref) ?:

Abstract

Aim – The aim of this paper is to analyze, whether the effect of new socially responsible funds occurs in Poland. Research methodology – The approach of S. Buczek is utilized in this paper to measure the possibility of obtaining abnormal rates of return from investing in six selected Polish investment funds. The study has been carried out from the data of six selected investment funds, which include social responsibility in their investment policy and which were active at the end of 2015. The analysis was based on monthly rates of return for the period from the beginning of the month that followed after the month in which the fund started to operate (or, as in the case of Skok Etyczny1 fund, after the month in which the fund has introduced significant changes which included social responsibility to its investment policy) up until the 12th and 36th full month of the funds’ operation. Findings – The results obtained with the average cumulative abnormal returns approach allow to conclude that new socially responsible investment funds were able to obtain rates of return higher than those of the WIG index within the first 12 and 36 full months of operation. Above average returns have been observed for 66.67% of analyzed funds, but not for all of them. This can indicate a certain anomaly on the investment funds market. Due to a somewhat simplified approach a further study should be carried out to confirm the results. Further analysis should include risk adjusted measures of abnormal returns and an analysis of the evidence for the persistence of long-term performance. Originality/value – According to the authors knowledge this paper is one of the first ones in Poland to address the effect of new socially responsible investment funds.
Download file

Article file

Bibliography

1.Banz R.W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9.
2.Berk J.B. (1997). Does Size Really Matter? Financial Analysts Journal, 53.
3.Blake D., Timmerman A. (1998). Mutual fund performance: Evidence from the UK. European Finance Review, 2 (1).
4.Buczek S. (2005). Efektywność informacyjna rynków akcji. Teoria a rzeczywistość, Warszawa: Warsaw School of Economics Publishing House.
5.Czekaj J. (red.) (2014). Efektywność giełdowego rynku akcji w Polsce z perspektywy dwudziestolecia. Warszawa: PWE.
6.Dawidowicz D. (2013). Efekt nowych funduszy inwestycyjnych akcji polskich w latach 2005–2012. Folia Pomeranae Universitatis Technologiae Stetinensis seria Oeconomica, 301 (71), 27–34.
7.Jamróz P. (2013). Efektywność wybranych FIO rynku akcji w latach 2003–2011. Zeszyty Naukowe Uniwersytetu Szczecińskiego – Finanse, Rynki Finansowe, Ubezpieczenia, 63 (768), 193–206.
8.Jamróz P. (2014). Badanie efektywności zarządzających funduszami społecznie odpowiedzialnymi. Zeszyty Naukowe Uniwersytetu Szczecińskiego, 811, Studia i Prace Wydziału Nauk Ekonomicznych i Zarządzania, 36 (2), 273–285.
9.Karoui A. (2008). Performance Analysis of New Mutual Funds: a Bayesian Approach,working paper, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1102797 (30.01.2016).
10.Karpio A., Żebrowska-Suchodolska D. (2014). Ocena zarządzania portfelami otwartych funduszy inwestycyjnych z wykorzystaniem różnych miar efektywności inwestycyjnej. Studia Ekonomiczne. Zeszyty Naukowe Uniwersytetu Ekonomicznego w Katowicach, 207 (14), 136–147.
11.Kompa K., Witkowska D. (2010). Porównanie efektywności wybranych otwartych funduszy inwestycyjnych w okresie hossy i bessy. Acta Scientiarum Polonorum Oeconomia, 9 (3), 169–180.
12.Koronkiewicz G., Jamróz P. (2014). Comparison of the Tails of Market Return Distributions. Optimum. Studia Ekonomiczne, 5 (71), 103–113.
13.Reinganum M.R. (1983). Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values. Journal of Financial Economics, 12, 89–104.
14.Reinganum M.R. (1990). Market Microstructure and Asset Pricing: An Empirical Investigation of NYSE and NASDQ securities. Journal of Financial Economics, 28, 127–148.
15.Roll R. (1981). A Possible Explanation of the Small Firm Effect. Journal of Finance, 36, 879–888.
16.Shleifer A., Vishny R.W. (1997). The Limits of Arbitrage. Journal of Finance, 52, 35–55.
17.Skwarek P. (2001). Efekt wielkości spółki na polskim rynku kapitałowym. In: W. Frąckowiak (red.), Z badań nad rynkiem kapitałowym w Polsce. Poznań: Poznań University of Economics and Business Printing House.