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Ethical Unit Trust Financial Performance: Small Company Effects and Fund Size Effects
Author(s) -
Gregory Alan,
Matatko John,
Luther Robert
Publication year - 1997
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00130
Subject(s) - unit trust , unit (ring theory) , portfolio , business , strategic business unit , accounting , mutual fund , actuarial science , finance , marketing , psychology , market liquidity , mathematics education
Recent papers which have examined unit trusts have controlled either for a ‘fund size effect’ or for the ‘small firms effect’ in the investment portfolio. The contribution of this paper is an analysis of the ‘small firms effect’ whilst simultaneously controlling for the ‘fund size effect’. We show that the ethical unit trusts have significantly greater exposure than general unit trusts to the ‘small firms effect’, and that net of this there is no significant evidence of over or under performance by ethical trusts using an adjusted Jensen measure. Using two cross‐sectional approaches, we demonstrate that whilst a ‘small firms effect’ has a role to play in explaining unit trust performance, fund size is not correlated with the financial performance of unit trusts. This cross‐sectional analysis also provides some evidence that ethical unit trusts may perform less well than general unit trusts.