Maria Ceu Cortez

University of Minho · School of Economics and Management

This paper investigates the environmental and financial performance of investments in energy firms. For this purpose, we form portfolios of green energy European stocks compared to their non-green counterparts from January 2008 to November 2020 and assess their environmental and financial performance. Within firms with environmental ratings, those...

This study examines the performance of socially responsible stock portfolios based on Environmental, Social, and Governance (ESG) ratings in four regions: North America, Europe, Japan, and Asia Pacific. Our findings reveal that the financial impact of socially responsible investing is geographically dependent, varies over time, and relies on the sc...

This paper investigates whether investment strategies using rankings based on different portfolio performance measures lead to different future abnormal returns. A set of 13 commonly used risk-adjusted performance measures is applied to a dataset of US equity mutual funds over the period July 1970 to September 2019. The results show some evidence o...

This paper provides new evidence on the appropriateness of the Fama-French five-factor model to evaluate international equity funds’ performance. After extending this model to a conditional framework by allowing for time-varying risk and performance, the results show that funds underperformed during the 2000–2017 period. Funds investing globally an...

This paper investigates the performance of socially screened bond portfolios of 189 Eurozone companies between 2003 and 2016. Bond portfolios are formed on the basis of an aggregate measure of corporate social responsibility (CSR) and on specific dimensions of CSR, namely, Environment, Social, and Governance dimensions. Our results show that the pe...

This paper evaluates the performance of European SRI fixed-income funds domiciled in France and in Germany compared to characteristics-matched conventional funds. Fund performance is evaluated by means of conditional multi-factor models that allow for both time-varying risk and performance. The results show that SRI balanced funds perform similarly...

This paper presents a comprehensive analysis of socially responsible (SR) funds in Sweden by assessing fund managers' abilities and performances across different market states. These issues are analyzed at the aggregate and individual fund levels. The paper also presents several new statistical tests that allow more precise inferences about differe...

This paper evaluates the performance of a survivorship bias-free data set of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnit...

Purpose The purpose of this paper is to examine, from the venture capital (VC) managers’ perspective, the impact of the international financial and sovereign debt crises on the VC industry in Portugal, and the changes and adjustments VC managers were forced to adopt to their procedures and current practices to cope with these challenges. Design/m...

The effects of incorporating environmental criteria in investment decisions is of upmost importance to an increasing number of investors. This paper evaluates the performance of US and European green funds that invest globally by using conditional models that consider both time-varying performance and risk measures. The results show that green fund...

This paper evaluates the performance of a survivorship bias-free dataset of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnitu...

This paper investigates the performance, investment styles and managerial abilities of French socially responsible investment (SRI) funds investing in Europe during crisis and non-crisis periods. Our results show that SRI funds significantly underperform characteristics-matched conventional funds during non-crisis periods, but match the performance...

In this paper we investigate whether the determinants of international equity investment differ between investors with different degrees of sophistication. For this purpose, we analyse and compare the determinants of international equity investment of institutional and noninstitutional investors from 20 OECD countries (US not included) in the perio...

This article analyses the selectivity and market timing abilities of international Socially Responsible Investment (SRI) funds, from eight European markets, in comparison to conventional funds with similar characteristics. The results show that differences in market timing abilities of international SRI funds and their conventional peers are not st...

We show that subject to regularity conditions, for a given location-scale distribution all performance measures which are increasing functions of reward and decreasing functions of risk are monotonically increasing functions of the Sharpe ratio. For large sample sizes, the correlation between pairs of performance measures is asymptotically equal to...

French socially responsible investment (SRI) funds investing in Europe underperform characteristics-matched conventional funds during non-crisis periods, while matching their performance during market downturns. The underperformance of SRI funds during good economic states is driven by funds that use negative screens. SRI and conventional funds sho...

We investigate the performance of US mutual funds that employ different ethical criteria: religious, socially responsible, and irresponsible. Performance is evaluated over different market regimes using a Markov-switching conditional CAPM approach that endogenously defines different states of the market. This model is also extended to a multifactor...

This paper analyses the performance and investment styles of internationally-oriented Socially Responsible Investments (SRI) funds, domiciled in eight European markets, in comparison with characteristics-matched conventional funds. To the best of our knowledge, this is the first multi-country study, focused on international SRI funds (investing in...

This paper draws attention to the fact that under standard assumptions the time varying betas model cannot capture the dynamics in beta. Conversely, evidence of time variation in beta using this model is equivalent to non-normality in the unconditional distribution of asset returns. Using the multivariate normal as a model for the joint distributio...

This paper investigates how past performance, as measured by alternative risk-adjusted measures is informative of future performance. Performance results based on the Sharpe Ratio and several downside risk-adjusted performance measures (the Sortino ratio, excess return on Cornish-Fisher VaR, excess return on VaR, and excess return on Expected Short...

We investigate the performance of US socially responsible funds that employ different stock selection criteria: religious, social and ‘irresponsible’ criteria. Performance is evaluated over different market regimes using a Markov-switching conditional CAPM model that defines different states of the market endogenously. The ‘irresponsible’ fund outp...

This paper investigates the impact of using different risk-adjusted measures of performance on the evaluation of UK investment trusts. Significant negative skewness is probably the most important empirical property of the time series of returns under analysis. Performance results based on the Sharpe Ratio and several downside risk-adjusted performa...

We estimate and compare the performance of Portuguese-based mutual funds that invest in the domestic market and in the European market using unconditional and conditional models of performance evaluation. Besides applying both partial and full conditional models, we use European information variables, instead of the most common local ones, and cons...

Recent years have witnessed an increasing growth in mutual funds that invest according to social criteria. As a consequence, the financial performance of these portfolios has attracted the interest of academics and practitioners. This paper investigates the performance of a sample of socially responsible mutual funds from seven European countries i...

This paper investigates the style and performance of US and European global socially responsible funds. Several specifications of the return-generating process are applied as well as their corresponding conditional versions. Most European global socially responsible funds do not show significant performance differences in relation to both conventio...

This paper examines the performance of Portuguese equity funds investing in the domestic and in the European Union market, using several unconditional and conditional multi-factor models. In terms of overall performance, we find that National funds are neutral performers, while European Union funds under-perform the market significantly. These resu...

Under standard assumptions the traditional time varying betas model cannot capture the dynamics in beta. Using the multivariate normal as a model for the joint distribution of returns on the market portfolio and the macro economic factors, it is shown how to capture skewness and kurtosis in the unconditional distributions of asset returns. It is sh...

We extend the international evidence on timing and selectivity skills of fund managers by applying the Henriksson and Merton [Henriksson, R., Merton, R., 1981. On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. J. Bus. 54, 513–533] model to Portuguese based mutual funds investing in local, Eur...

This paper aims to investigate the relationship between corporate environmental report and corporate financial performance. We use a sample of 35 corporations listed in Euronext Lisbon stock exchange for the 5 year period from 2000 to 2004. The empirical results suggest that companies that do not disclose environmental information have a superior f...

The purpose of this paper is to investigate the timing and selectivity abilities of Portuguese mutual fund managers. To accomplish this task, we apply and compare the methodologies developed by Treynor and Mazuy (1966) and Henriksson and Merton (1981) to a sample composed of National, European Union and International funds. The results obtained by...

In this paper we investigate if past performance can be used to predict future performance in the European bond fund market. Both unconditional and conditional measures of performance are considered. To our knowledge, this is the first study, which directly analyses the impact of conditioning information in assessing the persistence phenomenon in r...

The predictability of security returns has received considerable attention in the finance literature. Notwithstanding, the predictability of bond returns, in particular outside the US, has been far less explored. In this paper we analyse the ability of several predetermined information variables in predicting bond returns in the European market. We...

In this paper we investigate the performance of European bond funds which, as far as we are aware of, have not yet been studied. Both unconditional and conditional models are used to evaluate fund performance. As conditioning information we use variables that we find to be useful in predicting bond market returns in the European Market. We also tes...

Recent evidence suggests that future performance is predictable from past performance, that is, funds with superior (inferior) performance in the past are likely to remain good (bad) performers in the future. This research addresses the persistence of mutual fund performance in a European regional market (the Portuguese equity fund market). Some of...

A avaliação da performance dos gestores de carteiras tem sido uma questão amplamente debatida na literatura financeira. O desenvolvimento da Teoria do Mercado de Capitais proporcionou o surgimento, nos anos 60, de medidas de avaliação ajustadas ao risco: as de Jensen, Treynor e Sharpe. As críticas de que têm sido alvo têm a ver, por um lado, com pr...

We estimate and compare the performance of Portuguese-based mutual funds that invest in the domestic market and in the European market using unconditional and conditional models of performance evaluation. Besides applying both partial and full conditional models, we use European information variables, instead of the most common local ones, and cons...