Ethical Unit Trust Financial Performance: Small Company Effects and Fund Size Effects
同时控制小公司效应和基金规模效应，分析道德单位信托的财务表现，发现其更受小公司效应影响，但调整后无显著超额或低劣表现，且基金规模与业绩无关。
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.