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hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorBrière, Marie
hal.structure.identifierLéonard de Vinci Pôle Universitaire [Research Center]
hal.structure.identifier
dc.contributor.authorPeillex, Jonathan
hal.structure.identifier
dc.contributor.authorUreche-Rangau, Loredana
dc.date.accessioned2019-10-14T12:47:42Z
dc.date.available2019-10-14T12:47:42Z
dc.date.issued2017
dc.identifier.issn0015-198X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20140
dc.language.isoenen
dc.subjectSocially Responsible Investmenten
dc.subjectPerformance Attributionen
dc.subjectMutual Fundsen
dc.subjectAsset Allocationen
dc.subjectActive Managementen
dc.subject.ddc332en
dc.subject.classificationjelG.G2.G24en
dc.subject.classificationjelG.G2.G23en
dc.subject.classificationjelG.G1.G11en
dc.titleDo Social Responsibility Screens Matter when Assessing Mutual Fund Performance?en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenRegarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices.en
dc.relation.isversionofjnlnameFinancial Analysts Journal
dc.relation.isversionofjnlvol73en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2017
dc.relation.isversionofjnlpages53-66en
dc.relation.isversionofdoi10.2469/faj.v73.n3.2en
dc.relation.isversionofjnlpublisherNational Federation of Financial Analysts Societiesen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-09-30T15:23:39Z
hal.identifierhal-02315452*
hal.version1*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


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