|
|
|
|
||||
|
||||
The Performance of Socially Responsible Funds: Does the Screening Process Matter?Gunther Capelle-BlancardUniversité Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES); Centre d'Etudes Prospectives et d'Info. Internationales (CEPII) Stéphanie MonjonCIRED, International Research Center on Environment & Development, France December 8, 2010 Finance and Corporate Governance Conference 2011 Paper 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.
Number of Pages in PDF File: 51 Keywords: Socially Responsible Investing (SRI), Sustainable and Responsible Investment, Ethical Investment, Corporate Social Responsibility (CSR), Strategy Distinctiveness Index, Portfolio Choice, Ratings JEL Classification: G11, Q56, C32 working papers seriesDate posted: January 7, 2011 ; Last revised: January 4, 2012Suggested CitationContact Information
|
|
||||||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo1 in 0.515 seconds
