A reassessment of the European SRI Funds "underperformance": does the intensity of extra-financial negative screening matter?

Yves Jégourel and Samuel Maveyraud

Economics Bulletin, 2010, vol. 30, issue 1, 913-923

Abstract: Social responsible investment is surging in all industrial countries, despite the conventional wisdom that the inclusion of extra-financial criteria in the stock selection process should arm the financial performance of these funds. As a consequence, many papers have attempted to measure the financial performance of SRI funds and compared it to the performance of conventional funds with similar characteristics. According to this literature, we use a traditional CAPM model that allows for time-varying volatility to compare the risk-adjusted returns of several portfolios of SRI funds with differences in the intensity of extra-financial negative screening. Our key result shows that both alpha and beta are negatively correlated to the intensity of negative screenings. Thus, it appears that the risk-adjusted returns of SRI funds significantly differ from the returns of conventional funds if this latter criterion is taken into account.

Keywords: Socially responsible investment; International asset pricing; volatility (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2010-03-30
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Citations: View citations in EconPapers (6)

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Working Paper: A reassessment of European SRI funds underperformance: does the intensity of extra-financial negative screening matter? (2010)
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