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The Performance of Socially Responsible Funds: Does the Screening Process Matter?

Abstract : 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.
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https://hal-enpc.archives-ouvertes.fr/hal-00802363
Contributeur : Frédérique Bordignon <>
Soumis le : mardi 19 mars 2013 - 16:34:40
Dernière modification le : samedi 3 octobre 2020 - 03:03:43

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Gunther Capelle-Blancard, Stephanie Monjon. The Performance of Socially Responsible Funds: Does the Screening Process Matter?. European Financial Management, 2014, 20 (3), pp.494-520. ⟨10.1111/j.1468-036X.2012.00643.x⟩. ⟨hal-00802363⟩

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