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Issue 5(1), October 2010 -- Paper Abstracts
Girard  (p. 9-22)
Cooper (p. 23-32)
Kunz-Osborne (p. 33-41)
Coulmas-Law (p.42-46)
Stasio (p. 47-56)
Albert-Valette-Florence (p.57-63)
Zhang-Rauch (p. 64-70)
Alam-Yasin (p. 71-78)
Mattare-Monahan-Shah (p. 79-94)
Nonis-Hudson-Hunt (p. 95-106)



JOURNAL OF ACCOUNTING AND FINANCE

Do Green Exchange-Traded Funds outperform the S&P500?


Author(s): Omid Sabbaghi

Citation: Omid Sabbaghi, (2011) "Do Green Exchange-Traded Funds outperform the S&P500?" Vol. 11, Iss. 1, pp. 50 - 59

Article Type: Research paper

Publisher: North American Business Press

Abstract:

This study provides an empirical analysis of green index funds. Green exchange-traded funds (ETFs) are new financial instruments that invest in companies exhibiting positive environmental, social, and corporate governance (ESG) characteristics, and provide a low-cost approach to socially responsible investments. In this paper, we provide one of the first investigations of the return dynamics for these financial instruments. Specifically, we construct an equally-weighted portfolio of green ETFs and compare its return performance to that of the S&P500 equity index. Using data at the monthly frequency, we find that our equally-weighted green portfolio outperforms the S&P500 prior to the financial market collapse of 2008. However, consistent
with recent research, we find that these new financial instruments are highly volatile and subsequently underperform the S&P500 in the years following the financial market crash. Our findings suggest that investors proceed with caution when encountering similar green-related financial instruments.