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

Gunther Capelle†Blancard and Stéphanie Monjon

European Financial Management, 2014, vol. 20, issue 3, 494-520

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.

Date: 2014
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Citations: View citations in EconPapers (78)

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https://doi.org/10.1111/j.1468-036X.2012.00643.x

Related works:
Working Paper: The Performance of Socially Responsible Funds: Does the Screening Process Matter? (2014)
Working Paper: The Performance of Socially Responsible Funds: Does the Screening Process Matter? (2011)
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