| Summary: | 碩士 === 國立成功大學 === 財務金融研究所 === 98 === This study screens 210 socially responsible mutual funds from the lists provided by Morningstar, Inc. and Social Investment Forum and examines their monthly returns obtained from the CRSP US mutual fund database to see if socially responsible mutual funds perform consistently across time. Employing the single-factor model, the Fama and French (1993) three-factor model and the Carhart (1997) four-factor model, we calculate the alpha value of each single fund and adopt a regression-based method and a contingency table-based method, respectively, to investigate whether these funds’ performance persist. The empirical results of this study do not appear to show statistically significant evidence of performance persistence among those socially responsible mutual funds.
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