Impacto del COVID-19 en la eficiencia de fondos de inversión

Mar Arenas-Parra; Raquel Quiroga-García; Alonso Pérez-Hevia

doi:10.24310/recta.23.2.2022.19877

Autores/as

Mar Arenas-Parra Universidad de Oviedo España
Raquel Quiroga-García Universidad de Oviedo España
Alonso Pérez-Hevia Universidad de Oviedo España

DOI:

https://doi.org/10.24310/recta.23.2.2022.19877

Palabras clave:

Inversión socialmente responsable, fondos de inversión, eficiencia, COVID-19, DEA

Resumen

En las últimas décadas, los inversores se han preocupado no sólo de obtener rentabilidad de sus carteras, sino también de casar ese rendimiento con valores éticos relacionados con el mantenimiento del medio ambiente, la responsabilidad social y la gobernanza. Surge así la llamada Inversión Socialmente Responsable, siendo los fondos de inversión socialmente responsables uno de sus instrumentos más importantes. En este trabajo, hemos utilizado el análisis envolvente de datos (DEA) para analizar el impacto del COVID-19 sobre la eficiencia de fondos de inversión socialmente responsables del Reino Unido. Para ello hemos dividido nuestro periodo de estudio en dos: pre-COVID y COVID. De esta forma podremos concluir si hay diferencia respecto a la eficiencia en los fondos según su nivel de sostenibilidad y el periodo analizado. Los resultados obtenidos nos permiten concluir que en el periodo pre-COVID los fondos más eficientes pertenecen al grupo de los de mejor calificación ESG. Si bien este grupo también es el que más se ha visto afectado por la pandemia. Lo contrario se concluye para el grupo de los de menor calificación ESG.

Descargas

Los datos de descargas todavía no están disponibles.

Publicación Facts

Este artículo

Otros artículos

Revisión pares

Revisores: 0

2.4 promedio

Perfil de revisores N/D

Información adicional autores

Datos de investigación disponibles

##plugins.generic.pfl.dataAvailability.unsupported##

##plugins.generic.pfl.averagePercentYes##

Financiación

N/D

32% con financiadores

Conflicto de intereses

N/D

##plugins.generic.pfl.averagePercentYes##

Para esta revista

Otras revistas

Artículos aceptados

Artículos aceptados: 4%

33% aceptado

Días hasta la publicación

145

Indexado: {$indexList}

Indexado en

Perfil de director y equipo editorial: ##plugins.generic.pfl.profiles##
Sociedad Académica/Grupo: N/D
Editora:: UMA Editorial. Universidad de Málaga

Citas

Abate, G., Basile, I., Ferrari, P. (2021). The level of sustainability and mutual fund performance in Europe: An empirical analysis using ESG ratings. Corporate Social Responsibility and Environmental Management 28(5), 1446-1455.

https://doi.org/10.1002/csr.2175

AitElMekki, O. (2020). Is Socially Responsible Investment Outperforming Conventional Investment or Not? A Meta-Analysis. American Journal of Industrial and Business Management 10, 1760-1784.

https://doi.org/10.4236/ajibm.2020.1011110

Allevi, E., Basso, A., Bonetti, F., Oggioni, G., Riccardi, R. (2019). Measuring the environmental performance of green SRI funds: A DEA approach. Energy Economics 79, 32-44.

https://doi.org/10.1016/j.eneco.2018.07.023

Ayadi, M.A., Ben Ghazi, Z., Chabchoub, H. (2015). Canadian Socially Responsible Investment Mutual Funds Performance Evaluation Using Data Envelopment Analysis. M. Al-Shammari, H. Masri (Eds.), Multiple Criteria Decision Making in Finance, Insurance and Investment, Springer International Publishing, New York, pp. 77-134.

https://doi.org/10.1007/978-3-319-21158-9_5

Babalos, V., Doumpos, M., Philippas, N., Zopounidis, C. (2015). Towards a Holistic Approach for Mutual Fund Performance Appraisal. Computational Economics 46(1), 35 - 53.

https://doi.org/10.1007/s10614-014-9450-y

Ballestero, E., Pérez-Gladish, B., Garcia-Bernabeu, A. (2015). Socially responsible investment. A multicriteria decision making approach. International Series in Operations Research & Management Science, Vol. 219. Springer.

https://doi.org/10.1007/978-3-319-11836-9

Banker, R., Charnes, A., Cooper, W.W. (1984). Some models for estimating technical and scale inefficiencies in data envelopment analysis. Management Science 30, 1078-1092

https://doi.org/10.1287/mnsc.30.9.1078

Basso, A. Funari, S. (2001). A Data Envelopment Analysis approach to measure the mutual fund performance. European Journal of Operational Research 135(3), 477-492.

https://doi.org/10.1016/S0377-2217(00)00311-8

Basso, A., Funari, S. (2008). DEA models for ethical and non ethical mutual funds. Mathematics and Methods in Economics Finance 2, 21-40.

Basso, A., Funari, S., (2016). DEA performance assessment of mutual funds. In Zhu, J. (ed.) Data Envelopment Analysis. Data Envelopment Analysis. International Series in Operations Research & Management Science, Vol. 238. Springer, Boston, MA, pp. 229-287.

https://doi.org/10.1007/978-1-4899-7684-0_8

Briec, W., Kertens, K. (2009). Multi-horizon Markowitz portfolio performance appraisals: A general approach. Omega 37(1), 50-62.

https://doi.org/10.1016/j.omega.2006.07.007

Brogi, M., Lagasio, V. (2019). Environmental, social, and governance and company profitability: Are financial intermediaries different? Corporate Social Responsibility and Environmental Management 26(3), 576-587.

https://doi.org/10.1002/csr.1704

Cañal Fernández, V., Antomil Ibias, J.¸Rodríguez Uría, M.V. (2009). La selección de carteras socialmente responsables: revisión crítica de la literatura. Rect@ 9(1), 147-172.

Cañal Fernández, V., Gómez Martín, M. (2020). ¿Se puede especular con la conciencia? La evolución histórica de la inversión socialmente responsable. Rect@ 21(1), 65-88.

https://doi.org/10.24309/recta.2020.21.1.05

Charnes, A., Cooper, W.W., Rhodes, E. (1978). Measuring the efficiency of decision-making units. European Journal of Operational Research 2(6), 429-444.

https://doi.org/10.1016/0377-2217(78)90138-8

Chen, X., Scholtens, B. (2018). The urge to act: A comparison of active and passive socially responsible investment funds in the United States. Corporate Social Responsibility and Environmental Management 25(6), 1154-1173.

https://doi.org/10.1002/csr.1529

Chu, J., Chen, F., Leung, P. (2010). ETF Performance Measurement - Data Envelopment Analysis, Service Systems and Service Management (ICSSSM)". 7th International Conference on IEEE, 28-30, Tokyo, Japan, pp. 1-6.

https://doi.org/10.1109/ICSSSM.2010.5530245

Cooper, W. W., Seiford, L. M., Tone, K. (2007). Data envelopment analysis: A comprehensive text with models, applications, references and DEA-solver software. Springer.

https://doi.org/10.1007/978-0-387-45283-8

Cooper, W. W., Seiford, L. M., & Zhu, J. (Eds.). (2011). Handbook on data envelopment analysis. International Series in Operations Research & Management Science, Vol. 164, Springer.

https://doi.org/10.1007/978-1-4419-6151-8

Cowton, C. J. (1992). Accouting and Financial Ethics: from margin to mainstream? Business Ethics: A European Review 8(2), 99-107.

https://doi.org/10.1111/1467-8608.00134

do Castelo Gouveia, M., Duarte Neves, E., Cândido Dias, L., Henggeler Antunes, C. (2018). Performance evaluation of Portuguese mutual fund portfolios using the value-based DEA method. Journal of the Operational Research Society, 69(10), 1628-1639.

https://doi.org/10.1057/s41274-017-0259-7

Freeman, R. E. (1983). Strategic management: A stakeholder approach. Advances in Strategic Management, 1(1), 31-60.

Friede, G., Busch, T., Bassen, A. (2015). ESG and financial performance. Aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment 5(4), 210-233.

https://doi.org/10.1080/20430795.2015.1118917

Galagedera, D., Silvapulle, P. (2002). Australian mutual fund performance appraisal using Data Envelopment Analysis. Managerial Finance 28(9), 60-73.

https://doi.org/10.1108/03074350210768077

Global Sustainable Investment Alliance. About Us. (2022). Consultado el 20 de abril de 2022. Disponible en: http://www.gsi-alliance.org/aboutus/

GSI-Alliance (2021). Global Sustainable Investment Review 2020. Consultado el 20 de abril de 2022. Disponible en: http://www.gsi-alliance.org/

Haigh, M., Hazelton, J. (2004). Financial Markets: A Tool for Social Responsibility? Journal of Business Ethics 52(1), 59-71.

https://doi.org/10.1023/B:BUSI.0000033107.22587.0b

Haslem, J. A., Scheraga, C.A. (2003). Data Envelopment Analysis of Morningstar's large-cap mutual funds. The Journal of Investing 12(4), 41-48.

https://doi.org/10.3905/joi.2003.319566

Ielasi, F., Rossolini, M. (2019). A New Approach to Sustainable and Responsible Investment: The Sustainability-Themed Mutual Funds. In: La Torre, M., Chiappini, H. (eds) Socially Responsible Investments. Palgrave Studies in Impact Finance. Palgrave Pivot, Cham.

https://doi.org/10.1007/978-3-030-05014-6_7

Joro, T., Na, P. (2006). Portfolio performance evaluation in a mean-variance-skewness framework. European Journal of Operational Research 175(1), 446-461.

https://doi.org/10.1016/j.ejor.2005.05.006

Kim, C.S. (2019). Can Socially Responsible Investments Be Compatible with Financial Performance? A Meta-analysis. Asia-Pacific Journal of Financial Studies, 48 (1), 30-64. https://doi.org/10.1111/ajfs.12244

https://doi.org/10.1111/ajfs.12244

Levitt, A. (1998). The Importance of High-Quality Accounting Standards. Ed: Accounting Horizons, Sarasota, Fla, Vol. 12(1), pp. 79-82.

Matallín, C., Soler, J., Tortosa-Ausina, E. (2014). On the informativeness of persistence for evaluating mutual fund performance using partial frontiers. Omega 42 (1), 47-64.

https://doi.org/10.1016/j.omega.2013.03.001

Mcmullen, P., Strong, R.A. (1998). Selection of mutual funds using Data Envelopment Analysis. Journal of Business and Economic Studies 4(1), 1-14.

Morey, M.R., Morey, R.C. (1999). Mutual fund performance appraisals: A MultiHorizon perspective with endogenous benchmarking. Omega 27 (2), 241-258.

https://doi.org/10.1016/S0305-0483(98)00043-7

Morningstar (2021). Inversión Sostenible. Morningstar Sustainability Ratio. Consultado el 20 de marzo de 2022. Disponible en:

https://www.morningstar.com/content/dam/marketing/shared/research/methodology/744156_Morn ingstar_Sustainability_Rating_for_Funds_Methodology.pdf

Murthi, B. P. S., Choi, Y. K., Desai, P. (1997). Efficiency of mutual funds and portfolio performance Measurement: A non-parametric approach. European Journal of Operational Research 98 (2), 408- 418.

https://doi.org/10.1016/S0377-2217(96)00356-6

Muñoz Fernández, A. (2016). Inversión socialmente responsable - Socially Responsible Investment. EUNOMÍA. Revista En Cultura De La Legalidad 11, 273-284.

https://doi.org/10.20318/eunomia.2016.3293

Pastor, J. T. (1996). Translation invariance in data envelopment analysis: A generalization. Annals of Operations Research, 66, 93-102.

https://doi.org/10.1007/BF02187295

Pastor, J.T., Ruiz, J.L. (2007). Variables with negative values in DEA. In: Zhu, J., Cook, W.D. (eds) Modeling Data Irregularities and Structural Complexities in Data Envelopment Analysis. Springer, Boston, MA., pp. 63-84.

https://doi.org/10.1007/978-0-387-71607-7_4

Premachandra, I., Powell, J.G., Shi, J. (1998). Measuring the relative efficiency of fund management strategies in New Zealand using a spreadsheet-based stochastic data envelopment analysis model. Omega 26, 319-331

https://doi.org/10.1016/S0305-0483(98)00002-4

Premachandra, I., Zhu, J., Watson, J., Galagedera, D. (2016). Mutual fund industry performance: a network data envelopment analysis approach in data envelopment analysis a handbook of empirical studies and applications. In Zhu, J. (ed.) International Series in Operations Research & Management Science, Vol. 238. Springer Science + Business Media, New York, pp. 165-228.

https://doi.org/10.1007/978-1-4899-7684-0_7

Pérez-Gladish, B., Rodríguez, P. M., M'zali, B., Lang, P. (2013). Mutual funds efficiency measurement under financial and social responsibility criteria. Journal of Multi-Criteria Decision Analysis, 20(3- 4), 109-125.

https://doi.org/10.1002/mcda.1494

Renders, A., Gaeremynck, A., Sercu, P. (2010). Corporate-Governance ratings and company performance: A cross-European study. Corporate Governance: An International Review 18(2), 87-106.

https://doi.org/10.1111/j.1467-8683.2010.00791.x

Renneboog, L., Horst, J., Zhang, C. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking & Finance, 32(9), 1723-1742.

https://doi.org/10.1016/j.jbankfin.2007.12.039

Rubio, J. F., Hassan, M. K., Merdad, H. J. (2012). Nonparametric performance measurement of internal and Islamic mutual funds. Accounting Research Journal 25, 208-226.

https://doi.org/10.1108/10309611211290176

Shahrour, M. H. (2022). Measuring the financial and social performance of French mutual funds: A data envelopment analysis approach. Business Ethics, the Environment & Responsibility 31, 398-418.

https://doi.org/10.1111/beer.12424

Solórzano-Taborga, P., Alonso-Conde, A. B., Rojo-Suárez, J. (2018). Efficiency and persistence of Spanish Absolute Return Funds. Revista de Métodos Cuantitativos para la Economía y la Empresa 25, 186214.

https://doi.org/10.46661/revmetodoscuanteconempresa.2703

Tsolas, I. (2011). Natural resources exchange traded funds: performance appraisal using DEA modelling. Journal of Centrum Cathedra 4(2), 250-259.

https://doi.org/10.7835/jcc-berj-2011-0062

UK Sustainable Investment and Finance Association (UKSIF). About UKSIF. (S/F). Consultado el 21 de abril de 2022. Disponible en https://uksif.org/about

United Nations Environment Programme Finance Initiative (UNEPFI). About Us (S/F). Consultado el 21 de abril de 2022. Disponible en: https://www.unepfi.org/about/.

Wilkens, K., Zhu, J. (2001). Portfolio evaluation and benchmark selection: A mathematical programming approach. Journal of Alternative Investments 4 (1), 9-19.

https://doi.org/10.3905/jai.2001.319003

Wang, C. N., Larsen, M. L., Wang, Y. (2020). Addressing the missing linkage in sustainable finance: The'SDG Finance Taxonomy'. Journal of Sustainable Finance & Investment 12(2), 630-637.

https://doi.org/10.1080/20430795.2020.1796101

Zhao, X., Wang, S., Lai, K. K. (2011). Mutual performance evaluation based on endogenous benchmarks. Expert systems with applications 38, 3663-3670.

https://doi.org/10.1016/j.eswa.2010.09.022