Using an international sample from 1982 to 2008, we investigate the performance of global and 50 country-specific (28 developed and 22 emerging) fundamentally weighted portfolios compared to capitalization-weighted portfolios. First, we establish that superior performance of domestic portfolios...

In this paper, we empirically test the extent to which a portfolio of socially not responsible firms screened out of a market portfolio will trade at a discount. We create a set of global and domestic sin indexes consisting of a large number of publicly traded socially not responsible stocks...

Using a large international sample of 35 developed and emerging markets, we analyze whether Islamic indices exhibit a different performance to conventional benchmarks. While there is no compelling evidence of performance differences in robust Sharpe ratio tests and after controlling for market...

We investigate the performance of the alternative three-factor model across markets. The important U.S. evidence of Chen, Novy-Marx, and Zhang (2010) in favor of the alternative model does not translate to a test setting using data from 40 non-U.S. stock markets. The three-factor model of Fama...

This paper assumes the role of advocatus diaboli by testing whether an investment in sin stocks can financially outperform an investment in socially responsible stocks. We create a set of global, regional, and domestic portfolios consisting of a large number of stocks belonging to what could be...