
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
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Type
Article accepté pour publication ou publiéDate
2014Journal name
European Financial ManagementVolume
20Number
3Publisher
Wiley
Pages
494-520
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Show full item recordAbstract (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 / Keywords
Sustainable 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 durableJEL
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space ModelsQ56 - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
G11 - Portfolio Choice; Investment Decisions
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