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

Gunther Capelle-Blancard and Stephanie Monjon
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Stephanie Monjon: CIRED - centre international de recherche sur l'environnement et le développement - Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - EHESS - École des hautes études en sciences sociales - AgroParisTech - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique

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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.

Keywords: ratings; sustainable and responsible investment; Socially responsible investment (SRI); strategy distinctiveness index; portfolio choice; ethical investment; corporate social responsibility (CSR) (search for similar items in EconPapers)
Date: 2014-06
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Citations: View citations in EconPapers (63)

Published in European Financial Management, 2014, 20 (3), pp.494-520. ⟨10.1111/j.1468-036X.2012.00643.x⟩

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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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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00802363

DOI: 10.1111/j.1468-036X.2012.00643.x

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