In this study, we examine how idiosyncratic risk is correlated with a wide array of anomalies, including asset growth, book-to-market, investment-to-assets, momentum, net stock issues, size, and total accruals, in international equity markets. We use zero-cost trading strategy and multifactor...

This study examines the performance of socially responsible mutual funds from 1999 to 2009. To minimize the benchmark error, we apply propensity-score-matching method to identify a most comparable conventional fund for every socially responsible fund based on several key fund characteristics. We...