The Performance of Socially Responsible Funds : Does the Screening Process Matter ?
Capelle-Blancard, Gunther; Monjon, Stéphanie (2014), The Performance of Socially Responsible Funds : Does the Screening Process Matter ?, European Financial Management, 20, 3, p. 494-520. 10.1111/j.1468-036X.2012.00643.x
TypeArticle accepté pour publication ou publié
Journal nameEuropean Financial Management
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Abstract (EN)In this study, we examine whether the financial performances of socially responsible investment (SRI) mutual funds are related to the features of the screening process. Based on a sample of French SRI funds, we find evidence that a greater screening intensity slightly reduces financial performance (but the relationship runs in the opposite direction when screening gets tougher). Further, we show that only sectoral screens – such as avoiding ‘sin’ stocks – decrease financial performance, while transversal screens – commitment to UN Global Compact Principles, ILO/Rights at Work, etc. – have no impact. Lastly, when the quality of the SRI selection process is proxied by the rating provided by Novethic, its impact is not significant, while a higher strategy distinctiveness amongst SRI funds, which also gives information on the quality of the selection process, is associated with better financial performance.
Subjects / KeywordsSustainable and Responsible Investment; Investissement socialement responsable (ISR); Socially Responsible Investing (SRI); Ratings; choix de portefeuille; Portfolio Choice; responsabilité sociale des entreprises (RSE); Corporate Social Responsibility (CSR); investissement éthique; Ethical Investment; investissement responsable et durable
JELC32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Q56 - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
G11 - Portfolio Choice; Investment Decisions
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